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A stock price is currently $55. It is known that at the end of six months it will be either $50or $60. The risk-free interest

A stock price is currently $55. It is known that at the end of six months it will be either $50or $60. 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 $55? Use risk-neutral valuation to show the answer. Note: Use no-arbitrage arguments will NOT get full credits in this question.

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