The Current Stock Price of National Paper Is $69, and the Stock

question 65

Multiple Choice

The current stock price of National Paper is $69, and the stock does not pay dividends. The instantaneous risk-free rate of return is 10%. The instantaneous standard deviation of National Paper's stock is 25%. You want to purchase a put option on this stock with an exercise price of $70 and an expiration date 73 days from now.
Using the Black-Scholes, the put option should be worth ________ today.

• A) $1.50
• B) $2.88
• C) $2.55
• D) $3.00

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