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Consider a European put option on the stock of XY Z with strike $95 and six months to expiration. The stock does not pay dividends
Consider a European put option on the stock of XY Z with strike $95 and six months to expiration. The stock does not pay dividends and is currently worth $100. The annual continuously compounded risk-free interest rate is 8%. In six months the price is expected to be either $130 or $80. a. Using the single-period binomial option pricing model, find the price of the put option using replicating portfolio.
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