Topic: Binomial option pricing

56. The stock price of Bravo Corp. is currently $100. The stock price a year from now will be either $160 or $60 with equal probabilities. The interest rate at which investors invest in riskless assets is 6%. Using the binomial OPM, the value of a put option with an exercise price of $135 and an expiration date 1 year from now should be worth today. A. $34.09 B. $37.50 C. $38.21 D. $45.45 AAC