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The current price of a non-dividend-paying stock is $40. Over the next year it is expected to rise to $42 or fall to $37. An

The current price of a non-dividend-paying stock is $40. Over the next year it is expected to rise to $42 or fall to $37. An investor buys put options with a strike price of $41. What is the value of the option? The risk-free interest rate is 1% per annum with continuous compounding.

Group of answer choices

$0.91

$0.98

$1.06

$1.27

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