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Using historical data, the cumulative HDD in January is estimated to have a lognormal distribution with mean = 820 and volatility = 0.12. Find the
Using historical data, the cumulative HDD in January is estimated to have a lognormal distribution with mean = 820 and volatility = 0.12. Find the value of a European put option with strike 810 HDD, payment rate is $10,000 per degree day, and expiration 13 months, when the risk-free rate is 4% per year (CCR).
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