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A stock is priced at 38 and the periodic risk-free rate of interest is 6 percent. What is the value of a two-period European put option with a strike price of 35 on a share of stock using a binomial model with an up factor of 1.15 and a risk-neutral probability of 68 percent? A. $2.58. B. $0.64. C. $2.90. D. $0.57. |