Question: Using risk - neutral pricing, value a six - month European put with a strike price of $ 8 0 on a stock currently worth

Using risk-neutral pricing, value a six-month European put with a strike price of $80 on a stock currently worth $70. The volatility of the stock is 20%, the risk-free rate is 10%, the dividend yield is zero, and there are two steps per six months (so \Delta t =1/4).

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