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Tommygun'scurrent stock priceis $42, and the stock does not pay dividends. The instantaneous risk-free rate of return is 4%. The instantaneous...
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Tommygun's current stock price is $42, and the stock does not pay

dividends. The instantaneous risk-free rate of return is 4%. The instantaneous standard deviation of Tommygun's stock is 30%. You want to purchase a put option on this stock with an exercise price of $36 and an expiration date 35 days from now.
Using Black-Scholes, the put option should be worth ______ today.

-0.05
-0.07
-5.84
-6.20

Step-by-step answer

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Subject: Business, Finance

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