Question: Let S = $75, K = $80, r = 6% (continuously compounded), T = 0.75, and d = 0. Let u = 1.15, d =

Let S = $75, K = $80, r = 6% (continuously compounded), T = 0.75, and d = 0. Let u = 1.15, d = 0.75, and n = 1. What are D and B for a European put?

a. D = 0.7917; B = 65.2767
b. D = 0.8653; B = 76.1126
c. D = 0.5478; B = 81.7917
d. D = 0.5083; B = 73.1752
e. D = 0.6120; B = 64.4281

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