What is the price of the put option today

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There is an American put option on a stock that expires in two months. The stock price is $100 and the standard deviation of the stock returns is 72 percent. The option has a strike price of $112 and the risk-free interest rate is an annual percentage rate of 5.6 percent.

Problem 1: What is the price of the put option today? Use a two-state model with one-month steps.

Reference no: EM133000693

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