The price of the put option today using one-month steps

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Reference no: EM132047374

There is a European put option on a stock that expires in two months. The stock price is $82, and the standard deviation of the stock returns is 67 percent. The option has a strike price of $90, and the risk-free interest rate is an annual percentage rate of 6 percent. What is the price of the put option today using one-month steps? Use a two-state model with one-month steps. (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.)

What is Put Value?

Reference no: EM132047374

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