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An option matures in six months, and we want to model two time steps over that period. Suppose the underlying stock has a price of

An option matures in six months, and we want to model two time steps over that period. Suppose the underlying stock has a price of 60 and an annual standard deviation of returns of 25%. The risk-free rate is 6%. Use the binomial option pricing model to find the price of a put with strike price = $70.

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