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The current price of a non-dividend-paying stock is $30. Over the next six months it is...

The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $28. Assume the risk-free rate is 10% per annum. What, to the nearest cent, is the price of a European put option with a strike price of $33? (Your answer should be in the unit of dollar, but without the dollar sign. For example, if your answer is $1.02, just enter 1.02.)

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Expert Solution

Attaching image, though its excel no excel formulas used, can be understood easily. Feel free to reach out for any doubts.

Current price = $30

Next six months, rise to $36 or fall to $28

Strike price of european put option = $33

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jeff jeffy answered 1 year ago
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