What is the price of put option today using one-month steps

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There is a European put option on a stock that expires in two months. The stock price is $93, and the standard deviation of the stock returns is 68 percent. The option has a strike price of $101, and the risk-free interest rate is an annual percentage rate of 7 percent.

What is the price of the put option today using one-month steps? Use a two-state model with one-month steps.

What is the Put value?

Reference no: EM132042630

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