You have a put option with strike price of $125 that expires in 2 days. Today, the stock price is $117. You expect that, every day, there is a 55% chance that the stock price will increase by $5 and there is a 45% chance that the stock price will decrease by $6. The annual discount rate for a cash flow of the same risk as this option is 10%.

The three possible payoffs for this option are:

$2, $0, $0

$2, $9, $20

$0, $9, $20

$0, $9, $0

The probabilities of the three payoffs are:

Probability of $0:

Probability of $9:

Probability of $20:

What is the value of the option you have right now?

$9

$8.6

$8.59

$20