The price of a share is ($ 40), and it is incremented in (6 %) or it

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The price of a share is $\$ 40$, and it is incremented in $6 \%$ or it goes down in $5 \%$ every three months. If the risk-free interest rate is $8 \%$ per year, continuously compounded, compute:

(a) The price a European Put option expiring in six months with a strike price of $\$ 42$

(b) The price of an American Put option expiring in six months with a strike price of $\$ 42$

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Quantitative Finance

ISBN: 9781118629956

1st Edition

Authors: Maria Cristina Mariani, Ionut Florescu

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Question Posted: Apr 20, 2024 05:57 AM

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The price of a share is ($ 40), and it is incremented in (6 %) or it

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Quantitative Finance

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