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Calculate the value of a three-month european

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Reference no: EM132491683

An index currently stands at 696 and has a volatility of 30% per annum. The risk-free rate of interest is 7% per annum and the index provides a dividend yield of 4% per annum. Using Black-Scholes-Merton model, calculate the value of a three-month European put option on the index with an exercise price of 700.

Reference no: EM132491683

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