You observe the following in relation to a 4-month European put option on the S&P200 index.
a)Strike price of 3400
b)The S&P200 Index is currently at a level of 3600
c)The dividend yield is on the S&P200 Index is 4% p.a compounded quarterly
d)The risk free interests rate is 5% p.a compounded semi-annually
e)The volatility of the S&P200 Index is 25% p.a.
Use Black-Scholes option pricing model to value the put option. State any assumptions you make.
Take into consideration different compouding. Please do manually and show all the steps
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