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A stock price is currently $50. Over each of the next two 1-month periods it is expected to go up by 10% or down by
A stock price is currently $50. Over each of the next two 1-month periods it is expected to go up by 10% or down by 8%. The risk-free interest is 6% per annum with continuous compounding. Calculate the value of a 2-month American put option (a) with a strike price of $48. (b) with a strike price of $51. (C) with a strike price of $60
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