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A stock price is currently $50. Over each of the next three-month periods it is expected to go up by 6% or down by 6%.

A stock price is currently $50. Over each of the next three-month periods it is expected to go up by 6% or down by 6%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a three-month European put option with a strike price of $51? (e=2.71) (Answer is rounded)

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