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Calculate the option price using the following information: Option type European put Time to expiration 18 months Strike price 2,600 Underlying type Index Current underlying
Calculate the option price using the following information:
| Option type | European put |
| Time to expiration | 18 months |
| Strike price | 2,600 |
| Underlying type | Index |
| Current underlying index | 2,800 |
| Underlying dividend yield | 2% |
| Underlying volatility | 30% |
| Risk-free rate | 3% |
| Pricing model | Black-Scholes formula |
Please show work.
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Finance Applications And Theory
Authors: Marcia Millon Cornett, John R. Nofsinger, Troy Adair
3rd International Edition
1259252221, 9781259252228
