A non-dividend paying stock is currently trading at USD 45 and has an expected return of 10% per year. Using the Black-Scholes-Merton (BSM) model, what is the value of 6-months, European-style Put option on the stock, if the parameters used in the model are: So=45, K=40, r=0.1, volatility=0.2? O $0.56 O $3.59 O $0.34 O $4.00