What will be the price of a three-month European put option

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Question - What will be the price of a three-month European put option on a non-dividendpaying stock with a strike price of £50 when the current stock price is £50, the risk-free interest rate is 10% per annum and the volatility is 30% per annum?

a. £0.00

b. £2.38

c. £1.62

d. £2.00

Reference no: EM132940274

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