What is the value of a six-month european put option

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Reference no: EM131996509

A stock price is currently $40. Over each of the next two three-month periods it is expected to go up by 10% or down by 10%.

The risk-free interest rate is 12% per annum with continuous compounding.

What is the value of a six-month European put option with a strike price of $42?

What is the value of a six-month American put option with a strike price of $42?

Reference no: EM131996509

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