16.26. Calculate the price of a six-month European put option on the spot value of the S&P...
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16.26. Calculate the price of a six-month European put option on the spot value of the S&P 500.
The six-month forward price of the index is 1,400, the strike price is 1,450, the risk-free rate is 5%, and the volatility of the index is 15%.
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