Question: You are attempting to value a put option with an exercise price of $170 and one year to expiration. The underlying stock pays no dividends,

You are attempting to value a put option with an exercise price of $170 and one year to expiration.

The underlying stock pays no dividends, its current price is $170.

you believe it has a 50% chance of increasing to $180 and a 50% chance of decreasing to $100.

The risk-free rate of interest is 4%.

What is the value of the put using the risk-neutral shortcut? (Do not round intermediate calculations. Round your answer to 3 decimal places.)

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