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Consider a DEF 75 put with six months until expiration. The continuously compounded riskfree rate...

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Finance

Consider a DEF 75 put with six months until expiration. The continuously compounded riskfree rate is 3%, and the variance of ABC stock is 0.0625. Complete the following table to calculate the Black-Scholes option values at the given current security price. Record your answers in the table below.

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D1 N(D1) D2 Security Price $70 N(D2) Put Price

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