There is an American put option on an equity that expires in 2 months. The share price
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There is an American put option on an equity that expires in 2 months. The share price is €13.20, and the standard deviation of the share price returns is 35 per cent. The option has a strike price of €14.00, and the risk-free interest rate is a 3.5 per cent annual percentage rate. What is the price of the put option today using one-month steps?
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Related Book For 
Corporate Finance
ISBN: 9780077173630
3rd Edition
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
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