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(5p) What is the Black-Scholes price of a European put option on a non-dividend-paying stock when the stock price is $100, the strike price is
(5p) What is the Black-Scholes price of a European put option on a non-dividend-paying stock when the stock price is $100, the strike price is $100, the risk-free interest rate is 6% per annum with continuous compounding, the volatility is 20% per annum, and the time to maturity is 6 months? Round your dl,d2 to four decimal places (you may round them to two decimal places but you will lose one point for that)
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