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A non-dividend paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the

A non-dividend paying stock sells for $110. A call on the stock has an exercise price of $105 and expires in 6 months. If the annual interest rate is 11% (0.11) and the annual standard deviation of the stocks returns is 25% (0.25), what is the price of a European put option according to the Black-Scholes-Merton option pricing model.

13.86

3.24

4.35

6.45

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