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A stock is priced at 38 and the periodic risk-free rate of interest is 6%. What is the value of a two-period European put option

A stock is priced at 38 and the periodic risk-free rate of interest is 6%. What is the value of a two-period European put option with a strike price of 35 on a share of stock using a binomial model with an up factor of 1.15, a down factor of 0.87 and a risk-neutral up probability of 68%?

A.$2.58

B.$0.64

C.$0.57

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