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2. The current price of a stock is $55, the annual risk-free rate is 8%, and a 1-year call option with a strike price of

2. The current price of a stock is $55, the annual risk-free rate is 8%, and a 1-year call option with a strike price of $66 sells for $8.60. What is the value of a put option, assuming the same strike price and expiration date as for the call option? (Chapter 8, PUT-CALL Parity).

a. 11.852

b. 12.999

c. 15.278

d. 17.696

e. 14.526

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