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A stock price is currently $180. It is known that it will be either $207 or...

A stock price is currently $180. It is known that it will be either $207 or $153 at the end of 3 months.

The risk-free interest rate is 2% per annum with continuous compounding.

What is the value of the 3- month European stock put option (with a strike price of $175)?

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The price of the 3-month European put option is $10.58

I have solved this question in Excel. The formula used are shown in another excel file. If you still have any doubt, kindly ask in the comment section.

The formula used are:

Note: Give it a thumbs up if it helps! Thanks in advance!

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