Consider the information for the call given earlier. Since the BlackScholes model uses continuous interest, the discount

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Consider the information for the call given earlier. Since the Black–Scholes model uses continuous interest, the discount factor is expressed in continuous form. It is equal to ert or e0.10(0.5). Using a calculator, this value is 1.0513. Therefore,

Price of put = 3.95 - 40 + 45/1.0513 = $6.75

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Investments Analysis And Management

ISBN: 9781118975589

13th Edition

Authors: Charles P. Jones, Gerald R. Jensen

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