Chapter 03 · Section 3.1
The diagram of the evolution
The diagram of the stock price evolution develops in this direction ------>
<--------The diagram of the put value evolution develops in this direction.
What is the price of the put?
a) --999999/-1
b) -0
c) -2.05
d) -0.01/1.85
e) -1.87/99999
f) +1.86
The value is obtained in the following manner: (1/(1+interest rate)) x {(3rd period value of call x probability of attaining that value) + (3rd period value of call x probability of attaining that value)}.