Value of a put option with exercise price


You are attempting to value a put option with an exercise price of $107 and 1 year to expiration. The underlying stock pays no dividends, its current price is $107, and you believe it has a 50% chance of increasing to $130 and a 50% chance of decreasing to $84. The risk-free rate of interest is 9%. Calculate the value of a put option with exercise price $107.

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Finance Basics: Value of a put option with exercise price
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