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A stock s follows the It process ds(t)=0.125( t )dt +0.38(t)dZ(t) You are given: (i) The current price of the stock is 40. (ii) The

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A stock s follows the It process ds(t)=0.125( t )dt +0.38(t)dZ(t) You are given: (i) The current price of the stock is 40. (ii) The stock pays dividends of 0.04s(t)dt between times and t + dt/ (iii) The Sharpe ratio of the stock is 0.25. A 6-month European put option on the stock has strike price 40. Determine the price of the option

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