Solve the price of a three-month european put option

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Problem A) Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike price of $66 when the current stock price is $66, the risk-free interest rate is 9% per annum, and the volatility is 20% per annum.

Problem B) What difference does it make to your calculations in the previous problem (QA) if a dividend of $2 is expected in two months?

Reference no: EM132767473

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