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A put option is to be sold for 100 shares of security whose current price is $76.40 per share; it is for exercise in one
A put option is to be sold for 100 shares of security whose current price is $76.40 per share; it is for exercise in one year. The security's price will change (up or down) by 10% during the year, and the risk-free annual effective interest rate is 5%. The no-arbitrage price of the option is $100. Use risk-neutral probabilities to find the exercise price for the option.
The answer is $72.96 per share or $7296 for all 100 shares.
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