What Is the Value of a 3-Month Put with a Strike

question 27

Multiple Choice

What is the value of a 3-month put with a strike price of $45 given the Black-Scholes option pricing model and the following information? $$\begin{array} { l l } \text { Stock price } & \$ 52.90 \\\text { Risk-free rate } & 4.5 \text { percent } \\\text { 3-month } 45 \text { call } & \$ 9.31\end{array}$$

• A)$0.57
• B)$0.63
• C)$0.91
• D)$1.36
• E)$1.54