12.10. A stock price is currently $80. It is known that at the end of four months...

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12.10. A stock price is currently $80. It is known that at the end of four months it will be either

$75 or $85. The risk-free interest rate is 5% per annum with continuous compounding.

What is the value of a four-month European put option with a strike price of $80? Use no-arbitrage arguments.

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 08:00 AM

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12.10. A stock price is currently $80. It is known that at the end of four months...

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Fundamentals Of Futures And Options Markets

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