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Question
Assume S = $52.50, K = $55, σ = 0.20, r = 0.045, T - t = 130 days, div = 0.01, and a jump probability = 0.007. What is the value of a put option?A) $3.63
B) $2.63
C) $1.63
D) $0.63
Answer
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Related questions
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Assume the following: LN(S) and LN(Q) have a correlation coefficient of -0.65, S(0) = 55, Q(0) = 60, r = 0.04, σs = 0.22 σQ = 0.15, and dividends = 0. Using formula 20.39, what is the price of a claim that pays Q/?
A) $8.16
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D) $11.16
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