A European put option on XYZ stock has the following specifications: Strike price = $45, current stock price = $46, time to expiration = 3 months, annual continuously compounded interest rate = 0.08, dividend yield = 0.02, prepaid forward price volatility=0.35. Calculate the elasticity of such a put. [answer: 7.3803]

Where

C(St , K, , r, T t, ) = Ste (T t)N(d₁) Ker(T t)N(d₂) where

d₁ = [ln (S_t/K) + (r + 0.5 ² )(T t)]/ [ (T t)] and

d₂ = [ln (S_t/K) + (r 0.5 ² )(T t)]/ [ (T t)] = d₁ (T t)

St is the stock price at time t. K is the strike price of the option.

is the annual standard deviation of the rate of return on the stock or the prepaid forward price volatility.

r is the annual continuously compounded risk-free interest rate.

T is the time to expiration.

is the annual continuously compounded dividend yield.