The S&P 100 index currently stands at 696 and has a volatility of 30% per annum. The
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The S&P 100 index currently stands at 696 and has a volatility of 30% per annum. The risk-free rate of interest is 7% per annum and the index provides a dividend yield of 4% per annum. Calculate the value of a 3-month European put with strike price 700.
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