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The Citco's current stock price is 35 at t=0. At the end of the year (t=1) the stock price is expected to either increase to 40 or decrease to 30. The risk free rate is 6% per annum with continuous compounding. What is the value of a one-year European put option with a strike price of 33? Use the one-step binomial tree.

Reference no: EM131114326

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