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Assume the following info for a European put option: Stock price today = 35 Strike price = 40 Days to Expiration = 80 Risk free
Assume the following info for a European put option: Stock price today = 35 Strike price = 40 Days to Expiration = 80 Risk free rate =.02 Annual Standard deviation =32% Expected annual arithmetic return = 10%. Assume normal distribution of return; estimate the probability that the above European PUT option will be exercised on expiration date.
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