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Business, 16.11.2020 18:00 naomicervero

The current price of a stock is 60. The stock will pay a dividend of 2 in three months. The volatility of return on the stock is 38%. The continuously compounded risk-free rate is 5%. Under the Black-Scholes framework, find the price of a 6 month at-the-money put. A. 4.5 B 5.0 C. 5.5 D. 6.E. 6.5

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