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What is the value of a six month european put option

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Reference no: EM132364548

A stock price is currently $80. Over each of the next two 6 month periods (one jump each 6 month) it is expected to go up by 8% or down by 4%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value (premium at time 0) of a six- month European put option with a strike price of $81?

Reference no: EM132364548

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