Question: You are attempting to value a put option with an exercise price of $109 and one year to expiration. The underlying stock pays no dividends,

You are attempting to value a put option with an exercise price of $109 and one year to expiration. The underlying stock pays no dividends, its current price is $109, and you believe it has a 50% chance of increasing to $127 and a 50% chance of decreasing to $91. The risk-free rate of interest is 10%. Calculate the value of a put option with exercise price $109.

What is the value of the put option?

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