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A non-paying dividend stock price is currently 40 US$. Over each of the next two three-month periods it is expected to go either up by
A non-paying dividend stock price is currently 40 US$. Over each of the next two three-month periods it is expected to go either up by 10% or down by 10%. The riskless interest rate is 12% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of 42 US$?
Given the information above find the relevant call and put price of that European non-paying dividend stock option using the Black-Scholes formula
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