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3. A stock price is currently $80. It is known that at the end of four months it will be either $75 or $85. The

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3. 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 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 ? What is the delta () of the option

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