OK - terminology misunderstanding, I think. If it is installed on the incoming water supply, would be a Pressure Regulator (to keep excess pressure in the public water mains from reaching your house system). Generally code requires it be an 80 psi setting, but some areas lower. Regulator cost about $50 to $100 for a decent one, labor to install $100-250 depending on ease of access and whether existing one is a threaded or soldered connection. Unfortunately, these are commonly hard to get at in behind furnace and water heater, which is why it can run more than a nominal 1/2 hour or so to replace in many cases.
You might also be talking about a Backflow Preventer - which keeps potentially contaminated water from heater or furnace or household piping from flowing back into the public water system in the event of device overpressure or public water main pressure loss. Preventer cost about $25-40, installation cost same as for pressure regulator.
If you are talking about the Inflow Control Valve (pressure control tank automatic fill valve) that is controlled by a pressure regulating tank on a hydronic furnace (hot water boiler), then the valve costs about $40, installation $100-200 as with pressure regulator and for same reasons. If the pressure control tank is over 5 years old, I would recommend replacing it at the same time, as it only costs about $40 cost and nothing more to install at the same time, but will cost you $100-150 (service call charge) to replace by itself in the next few years (typically last 5-10 years).
If you are talking about the safety or "blowdown" or "relief" valve on a hot water heater or boiler, that would be a combined overtemp/overpressure relief valve, which relieves excess pressure on your appliance so it does not blow up, and also releases water/steam in the event of overtemp. Factory pressure setting to be installed depends on specific application (water heater, hydronic (baseboard) furnace, steam boiler, etc). Depends on local code at times, but usually about 150 psi and 210 degrees F on water heater, 25-35psi and 240-250 degrees F for a hydronic heater (may have over-pressure valve only), varies by design for steam boilers but commonly between 100-200 psi and between 250-400 degrees, with higher temperatures and pressures being for multi-unit buildings. In each case check rating plate on device for what pressure/temperature the relief valve should be rated for. For hot water heaters and hydronic boilers cost about $25-40 for valve ($50-200 for steam boilers), plus maybe additional $10-50 for piping if not legally plumbed now. Replacement labor about $100-200 - lower end for water heaters and hydronic systems where the minimum service call charge will probably cover it, higher end for steam service as takes longer to cool system down and reheat it for installation and test.