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What must be the price of a put option with the same strike price and expiration?

What must be the price of a put option with the same strike price and expiration?

FINANCIAL ACCOUNTING
FINANCIAL ACCOUNTING
10th Edition
ISBN:9781259964947
Author:Libby
Publisher:Libby
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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Suppose that the current price of an asset is $100. After three months, there are two possible values for the asset price, and after six months there are three, as follows: S++ = 121 s+ = 110 So = 100 st- = 92 S- = 90 S-- = 81 The annual risk-free rate of interest is 2%.
Transcribed Image Text:Suppose that the current price of an asset is $100. After three months, there are two possible values for the asset price, and after six months there are three, as follows: S++ = 121 s+ = 110 So = 100 st- = 92 S- = 90 S-- = 81 The annual risk-free rate of interest is 2%.
2. What must be the price of a put option with the same strike price and expiration? (Express in dollars, round-up your answer to 2 decimal places.)
Transcribed Image Text:2. What must be the price of a put option with the same strike price and expiration? (Express in dollars, round-up your answer to 2 decimal places.)
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