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CFA Level I Valuing a Derivative Using a One-Period Binomial Model question

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Derivatives

Valuing a Derivative Using a One-Period Binomial Model

A stock trades at USD 80.00. Over one period, its price will either rise by 25% or fall by 20%. The risk-free rate for the period is 5.0%. A one-period European put option on the stock has an exercise price of USD 85.00. The value of the put option today is closest to:

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