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A stock is currently priced at $40.00. The risk free rate is 4.1% per annum with continuous compounding. In 12 months, its price will be
A stock is currently priced at $40.00. The risk free rate is 4.1% per annum with continuous compounding. In 12 months, its price will be either $44.80 or $33.60.
Using the binomial tree model, compute the price of a 12 month bear spread made of European puts with strike prices $43.00 and $49.00.
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