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Compute the price of an american put option

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Reference no: EM133121604

The current price of a non-dividend paying stock is $100. Every three months, it is expected to go up or down by 11% or 17%, respectively. The risk-free rate is 10% per year with continuous compounding. Compute the price of an American put option with strike price $98 and maturity six months written on the stock.

Reference no: EM133121604

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