The value of a put option at expiration is: A. market price of the share minus the exercise price B. higher of the exercise price minus market price of the share and zero C. the exercise price D. none of the above

Suppose VS's stock price is currently $20. In the next six months it will either fall by 50% or rise by 50%. What is the current value of a put option with an exercise price of $15 and expiration of one year? The six-month risk-free interest rate is 5% (periodic rate). Use the two stage binomial method. A. $5.00 B. $2.14 C. $7.86 D. $8.23