Suppose that a stock price is currently 52 dollars, and it is known that three months from now, the price will be either 17 percent higher or 17 percent lower. Suppose further that you set up a riskless portfolio that consists of shorting 1 European call option with a strike price of 54 dollars, and purchasing an appropriate number of shares of the stock. Assuming that no arbitrage opportunities exist and a risk-free interest rate of 5.9 percent, what is the value of the riskless portfolio three months before the exercise date?
Answer = dollars.