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  3. 4. (5p) a stock price is currently $100. it is kno

4. (5p) A stock price is currently $100. It is known that at the end...

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Accounting

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4. (5p) A stock price is currently $100. It is known that at the end of 1 month it will be either $90 or $110. The risk-free rate of interest is 6% per annum with continuous compounding. Compute the price of a 1-month European put option with a strike price of $95 using noarbitrage arugments. (Note: You need to construct riskless portfolio then apply no-arbitrage arguments, in particular you need to compute the "delta" of this option.)

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