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You are to calculate a put option (European) that has 3 months left to expiration. The underlying stock does NOT pay dividends and both the
You are to calculate a put option (European) that has 3 months left to expiration. The underlying stock does NOT pay dividends and both the stock price and exercise price happen to be equal at $50. If the risk free rate is currently 10% per annum, and the volatility is assessed at 30% per annum, what is the change if a dividend of $1.50 is expected to be paid in two months?
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