What is the value of a three month put option on the index

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Reference no: EM131237709

Consider a stock index currently standing at 250. The dividend yield on the index is 4% per annum, and the risk-free rate is 6% per annum.

A three-month European call option on the index with a strike price of 245 is currently worth $10. What is the value of a three-month put option on the index with a strike price of 245?

Reference no: EM131237709

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