12. use black-scholes to solve and how much does this cost

3 months

Dan owns a share of nondividend paying stock. He feels that the price of the stock may drop in the next year so he enters into a rolling insurance strategy, which is obtaining one 3month European put on the stock every three months. With the first one being bought now. R = 8%, 05.3, So=45, strike price is 90% of stock price at that time The broker will only sell you the option at time 0. Use black-scholes to solve and how much does this cost