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Assume S = $42,K = 45,div = 0,r = 0

Question 24

Multiple Choice

Assume S = $42,K = 45,div = 0,r = 0.04,σ = 0.48,and 80 days until expiration.What is the premium on a knock-out put option with a down-and-out barrier of $44?


A) $2.13
B) $3.13
C) $3.47
D) $4.07

Correct Answer:

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