What is the put value and price of the option

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Reference no: EM132042647

There is an American put option on a stock that expires in two months. The stock price is $98, and the standard deviation of the stock returns is 61 percent. The option has a strike price of $110, and the risk-free interest rate is an annual percentage rate of 6.4 percent.

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

What is the Put Value?

Reference no: EM132042647

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