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The current price of a stock is $30. Over each of the next two three-month periods it is expected to go up by 5% or

The current price of a stock is $30. Over each of the next two three-month periods it is expected to go up by 5% or down by 5%. The risk-free interest rate is 12% per annum with continuous compounding. What is the value of a six-months European put option with a strike price of $32?

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