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10: For a non-dividend paying stock, you are given: (1) Its current price is $77. (ii) A European call option on the stock with one

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10: For a non-dividend paying stock, you are given: (1) Its current price is $77. (ii) A European call option on the stock with one year to expiration and strike price $56 costs $64.67. (iii) The continuously compounded risk-free interest rate is 7%. Determine the premium of a 1-year European put option on the stock with strike $56. (A) 39.88 (B) 43.88 (C) 40.88 (D) 41.88 (E) 42.88

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