What is price of put option today using one-month steps

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There is a European put option on a stock that expires in two months. The stock price is $60, and the standard deviation of the stock returns is 63 percent. The option has a strike price of $71, and the risk-free interest rate is an annual percentage rate of 4.2 percent. What is the price of the put option today using one-month steps?

Reference no: EM132045983

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