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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 6% 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 6% or down by 5%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of $51?

(Work backwards through a binomial tree)

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