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You are attempting to value a put option with an exercise price of $102 and one year to expiration. The underlying stock pays no dividends,
You are attempting to value a put option with an exercise price of $102 and one year to expiration. The underlying stock pays no dividends, its current price is $102, and you believe it has a 50% chance of increasing to $116 and a 50% chance of decreasing to $88. The risk-free rate of interest is 12%. Calculate the value of a put option with exercise price $102.
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