Question: Let S = 1 0 0 , K = 8 0 , r = 5 % , q = 1 % , sigma = 3

Let S =100, K =80, r =5%, q =1%, sigma =30%. Consider a perpetual American put option.
a) What is its fair value?
b) What is the value of its delta?
c) What is the value of its vega?

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