Expected one-year return of protective put portfolio

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A stock is currently trading at $50. A one-year at-the-money put costs $10. The stock price at the end of one year can be equally likely to be one of the following three values: {20, 50, 80}. What is the expected one-year return of a protective put portfolio?

(a) -16:67%

(b) 0%

(c) +16:67%

(d) +50%

Reference no: EM131528987

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