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A stock price is currently $100. It is known at the end of a 6-month periods it will be either $110 or $90. The risk-free

A stock price is currently $100. It is known at the end of a 6-month periods it will be either $110 or $90. The risk-free rate of interest with continuous compounding is 8% per annum. Calculate the value of a 6-month European put option on the stock with an exercise price of $100. (Binomial Trees)

A. $3.16

B. $5.45

C. $6.76

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