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A stock price is currently $80. It is known that at the end of four months it will be either $75 or $88. The risk

A stock price is currently $80. It is known that at the end of four months it will be either $75 or $88. The risk free rate is 6 percent per annum with continuous compounding. What is the value of a fourmonth European put option that is currently $1 out-of-the-money? Use no-arbitrage arguments.

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