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A stock price is currently $30. In the next two-month period it is expected to increase by 8% or reduce by 10%. The risk-free interest
A stock price is currently $30. In the next two-month period it is expected to increase by 8% or reduce by 10%. The risk-free interest rate is 5%. What is the value of a derivative that pays off max[(30-ST), 0]^2, where is the ST is stock price in two months?
Select one:
a. 3.00
b. 3.25
c. 3.55
d. 3.66
e. 3.75
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