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3. (20 points) Calculate the price of a put option with an exercise price of $100 and three months to expiration. The underlying stock pays
3. (20 points) Calculate the price of a put option with an exercise price of $100 and three months to expiration. The underlying stock pays no dividend and has a current price of $95. It is expected that the stock price in three months will be either $95.7 or $115.7, . If the annual risk-free rate is 5%, calculate the price of the put option using binomial option-pricing model.
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