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2. A European put option with strike price 20 and maturity time 6 months is written on a stock whose price follows a G.B.M. Suppose

2. A European put option with strike price 20 and maturity time 6 months is written on a stock whose price follows a G.B.M. Suppose that the current price of stock is S0 = 20, the risk-free interest rate is 5% per annum and the volatility is ^2 = 0.04 per annum. Find the fair price of the put, P0.

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