1. a. Find the value of a put option with an exercise price of $100 and 3 months to expiration. The stock current price is $100. The 3-month expected price of the stock would be either $80 or $120. The risk-free rate is 3%.
b. What is the value of a call option on the same security with a strike price of $100 and 3 months to expiration?
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