62.
The price of an asset will either rise by 25% or fall by 40% in 1 year, with equal
probability. A European put option on this asset matures after 1 year.
Assume the following:
Price of the asset today: 100
Strike price of the put option: 130
Put option premium: 7
Annual effective risk free rate: 3%
Calculate the expected profit of the put option.