What is the value of one-year put option with strike price

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Reference no: EM13937245

A stock price is currently $100. Over each of the next two six-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a one-year American put option with a strike price of $100?

Reference no: EM13937245

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