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We are examining the price of a European put option on a share of stock GG with one period to expiration. No dividend is expected
We are examining the price of a European put option on a share of stock GG with one period to expiration. No dividend is expected prior to expiration. The current stock price is $130, the exercise price is $135, the risk-free rate is 4%. The stock price of the next period is either $175.5 or $84.5. Using the replicating portfolio approach, what is the value of the put option?
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