Question: Use risk neutral valuation to value a PUT option on 9,000 with a strike price of 10,000. S 0 (/) = 0.80/, i = 10%

Use risk neutral valuation to value a PUT option on 9,000 with a strike price of 10,000.

S0(/) = 0.80/, i= 10% and i = 3%

In the next year, there are two possibilities:

S1 (/) = 1.00/

or

S1 (/) = 0.65/

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