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Using the Black and Scholes option valuation model, and a variance value of your choice from the range given, determine the value of a put

  1. Using the Black and Scholes option valuation model, and a variance value of your choice from the range given, determine the value of a put option with the following characteristics: the current market price is sh. 100 while the exercise price is sh. 110. The variance of the security returns lies in the range of 16% to 22% while the risk free rate and time to expiry of the option are 0.1 and 9 months respectively. (10 marks)

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