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Math Help - European put option

  1. #1
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    European put option

    Hi all, any ideas on this....

    A European put option with strike price K and maturity 6 months (= 0.5 years) is
    written on a stock whose price follows a G.B.M. Suppose that the current price of stock is S0 = 20, the risk free interest rate is 5% and the volatility is \sigma^2 = 4% (both per annum).
    Find the fair price of this option. Leave your answer in terms of K
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  2. #2
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    Hi. Did you solve it? I'd like to see how...

    I tried and came out with log-normal CDF. Meaning, I could not write the PUT value as a simple function of K.

    If you got to the solution, can you pls share? Thanks!
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