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A stock price is currently $40. It is known that at the end of 3 month it will be either $45 or $35. The risk-free

A stock price is currently $40. It is known that at the end of 3 month it will be either $45 or $35. The risk-free interest rate of interest with quarterly compounding is 8% per annum. Calculate the value of a 3-month European put option on the stock with an exercise price of $40.

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