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Consider a stock currently priced at $ 4 0 . Assume that in each period of one month, the stock could either appreciate or depreciate

Consider a stock currently priced at $

40 .

Assume that in each

period of one month, the stock could either appreciate or

depreciate by

10 % .

The risk

-

free rate is

2 %

per annum.

What would be the value of a

2 -

month ATM Asian put?

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