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A six-month american put option with a strike price of $73

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A stock price is currently $70. Over each of the next two three-month periods, it is expected to go up by 8% or down by 6%. The risk-free rate is 4% per annum with continuous compounding. What is the value of a six-month American put option with a strike price of $73?

Answer choices: 2.644 , 5.146, 2.239, or 4.036 ?

Reference no: EM13304334

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