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Consider the BS model with S0.5=108,=0.1,r=0.06,T=1 and =0.25. The price of a put option with strike price K=110 at time 0.5 is
Consider the BS model with S0.5=108,=0.1,r=0.06,T=1 and =0.25. The price of a put option with strike price K=110 at time 0.5 is
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