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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 each option? The risk-free interest rate is 2% per annum with continuous compounding?

A: $3.93

B: $0.93

C: $1.93

D: $2.93

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