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Effective annual risk-free rate of interest

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A put option on a stock with a current price of $37 has an exercise price of $39. The price of the corresponding call option is $2.85. According to put-call parity, if the effective annual risk-free rate of interest is 4% and there are three months until expiration, what should be the value of the put? (Do not round intermediate calculations, round your answer to 2 decimal place)

Reference no: EM131933039

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