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You are attempting to value a put option with an exercise price of $100 and one year to expiration. The underlying stock pays no dividends, its current price is $100, and you believe it has a 50% chance of increasing to $120 and a 50% chance of decreasing to S80 The risk-free rate of interest is 10%. Calculate the value of a put option with exercise price $100. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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Financial Management, Finance

Category:- Financial Management
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