Find the exercise price on the option

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A European put option is to be sold for 100 shares of Good Intentions Inc. whose current share price is $75 per share. It is for excercise in one month. It is expected that the security price will change up or down by 5% during the month. The risk free annual interest rate is 6%. The no arbitrage price of the option is $82.75. Find the exercise price on the option.

Reference no: EM132044353

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