Calculate value of put option to sell shell for 22 half

Reference no: EM13470622

Suppose that a share of Shell costs $21 now and that the continuously compounded risk-free rate is 1%. Compute the value of a put option to sell Shell for $22 half a year from now, under the assumption that in half a year, the share costs either $20 or $23.

Reference no: EM13470622

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