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The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26.

The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26. Assume that the risk-free rate is 10% per annum (continuously compounded). What, to the nearest cent, is the value of a 6-month European put option on the stock with a strike price of $33?

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