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A stock price is currently $35. Over each three-month interval, it is expected to go up by 15% or down by 10%. The risk-free interest

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A stock price is currently $35. Over each three-month interval, it is expected to go up by 15% or down by 10%. The risk-free interest rate is 4% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of $40? What is the value of an American put

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