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The current price of a non-dividend-paying stock is $40. Over the next three months it isexpected to rise to $42 or fall to S37. An

The current price of a non-dividend-paying stock is $40. Over the next three months it isexpected to rise to $42 or fall to S37. An investor buys European put options with a strike priceof $41. What is the value of each option? The risk-free interest rate is 2% per annum.

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