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What is the price of the put option today

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Reference no: EM132538568

There is a European put option on a stock that expires in two months.

The stock price is $97 and the standard deviation of the stock returns is 62 percent. The option has a strike price of $105 and the risk-free interest rate is an annual percentage rate of 7.4 percent.

What is the price of the put option today? Use a two-state model with one-month steps

Reference no: EM132538568

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