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A stock price is currently $50. Over each of the next two three-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 three-month periods it is expected to go up by 10% or down by 11%. The risk-free interest rate is 12% per annum with continuous compounding.
What is the value of a six-month European put option with a strike price of $53?
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Investments An Introduction
Authors: Herbert B. Mayo
13th Edition
0357127951, 978-0357127957
