12.19. A stock index currently stands at 300. It is expected to increase or decrease by 10%...
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12.19. A stock index currently stands at 300. It is expected to increase or decrease by 10% over each of the next two time periods of three months. The risk-free interest rate is 8% and the dividend yield on the index is 3%. What is the value of a six-month put option on the index with a strike price of 300 if it is
(a) European and
(b) American?
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