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Suppose that S0 = $80, d = 0.8, annual interest rate r =4%, strike price X = $100, and the number of periods is N=3.
Suppose that S0 = $80, d = 0.8, annual interest rate r =4%, strike price X = $100, and the number of periods is N=3. Assume that interest is being compounded continuously and that each period is one month. Use this information to find:
a) the fair price of a European call option with these parameters
b) the fair price of a European put option with these parameters
c) the fair price of an American put option with these parameters.
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