What is the european put price using the bs model

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Reference no: EM131959584

This question is based on the following information on the Black-Scholes (BS) model. • index level = 2107 • exercise price = 2180 • time to option maturity = 0.36 years • continuously compounded risk-free rate = 5% • estimated continuously-compounded dividend yield on the index = 4% per year • estimated index return standard deviation = 15% Based on the above input, what is the European put price using the BS model?

Reference no: EM131959584

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