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Problem 3. A stock (not paying dividends) currently trades for 20$. Over each of the next two one-month periods its value is expected to go

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Problem 3. A stock (not paying dividends) currently trades for 20$. Over each of the next two one-month periods its value is expected to go up by 10% or down by 10%. Assume an interest rate of 12% per annum (r = 0.12 per annum continuously compounded) Calculate the value of European put option with expiry time 2 months and strike price 216

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