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Suppose the S&P is at 887, and it will pay a dividend of $35 at the end of the year. Assume an interest rate of

Suppose the S&P is at 887, and it will pay a dividend of $35 at the end of the year. Assume an interest rate of 2%. If a one-year European put option has a negative time value, what is the lowest possible strike price it could have?

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