Question: You are attempting to value a put option with an exercise price of $110 and one year to expiration. The underlying stock pays no dividends,

You are attempting to value a put option with an exercise price of $110 and one year to expiration. The underlying stock pays no dividends, its current price is $110, and you believe it has a 50% chance of increasing to $120 and a 50% chance of decreasing to $100. The risk-free rate of interest is 7% c. What is the weighted average value of the pay off? (Do not round intermediate calculations. Round your answer to 3 decimal places.) Discounting weighted average

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