Problem:

This problem is to be understood in terms of a single-period binomial process. Let the initial value of the underlying equal $100. The underlying can either go up by 50% (u=1.50) or down by 20% (d=0.80). The risk-free rate is equal to 6%. A hedge portfolio consisting of a long position in the underlying and a short position in a European call option to purchase the underlying at the end of one period at an exercise price of $100 was created.

Required:

In this problem, use put-call parity to price a European put to sell the underlying at the end of one period for an exercise price of $100.

Note: Please show the work not just the answer.