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What is the price of the put option today

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There is a European put option on a stock that expires in two months. The stock price is $100 and the standard deviation of the stock returns is 72 percent. The option has a strike price of $112 and the risk-free interest rate is an annual percentage rate of 5.6 percent.

What is the price of the put option today? Use a two-state model with one-month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)

Reference no: EM132540483

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