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A stock price is currently $180. It is known that it will be either $207 or $153 at the end of 3 months. The risk-free

A stock price is currently $180. It is known that it will be either $207 or $153 at the end of 3 months.

The risk-free interest rate is 2% per annum with continuous compounding.

What is the value of the 3- month European stock put option (with a strike price of $175)?

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