Suppose that you have an option that allows you to sell Buffelhead stock (see Problem 12) in month 6 for $165 or to buy it in month 12 for $165. What is the value of this unusual option?

Problem 12: Buffelheads stock price is $220 and could halve or double in each sixmonth period (equivalent to a standard deviation of 98%). A one-year call option on Buffelhead has an exercise price of $165. The interest rate is 21% a year.