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Problem 12.10. A stock price is currently $80. It is known that at the end of four months it will be either $75 or $85.

image text in transcribed Problem 12.10. A stock price is currently $80. It is known that at the end of four months it will be either $75 or \$85. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a four-month European put option with a strike price of $80 ? Use no-arbitrage arguments

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