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In a One-Period Binomial Model,assume That the Current Stock Price

Question 9

Multiple Choice

In a one-period binomial model,assume that the current stock price is $100,and that it will rise to $110 or fall to $90 after one month.If the risk-free rate is 0.1668% per month in simple terms,what is the price of a 99-strike one-month put option?


A) $4.02
B) $4.42
C) $4.49
D) $4.57

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