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Question 12: Black-Scholes (4 points) Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike price of $50 when

Question 12: Black-Scholes (4 points)

Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. (2 points)

Assume a dividend of $1.5 is paid in two months. What is the price now? (2 points)

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