Footnote 1 shows that the correct discount rate to use for the real-world expected payoff in the

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Footnote 1 shows that the correct discount rate to use for the real-world expected payoff in the case of the call option considered in Section 10.2 is 42.6%. Show that if the option is a put rather than a call then the discount rate is —52.5%. Explain why the two real-world discount rates are so different.

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