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IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by 3.0

IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by 3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the value of a put option with strike price 83 and maturity of 8 months?

a. 0.62579
b.

0.66449
c.

0.57576
d.

0.84929
e.

0.44990

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