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An index currently stands at 1,387 and has a volatility of 31% per annum. The risk-free rate of interest is 3.75% per annum and the

An index currently stands at 1,387 and has a volatility of 31% per annum. The risk-free rate of interest is 3.75% per annum and the index provides a dividend yield of 2.15% per annum. Calculate the value of a six-month European put with an exercise price of 1,375.

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