A stock price is currently 80 the risk-free interest rate, Financial Management

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A stock price is currently 80 the risk-free interest rate

A stock price is currently $80. It is known that at the end of 4 months it will be either $75 or $85. The risk-free interest rate is 5% per annum with continuous compounding.

What is the value of a 4-month European put option with a strike price of $80? Use noarbitrage arguments.

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Financial Management: A stock price is currently 80 the risk-free interest rate

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