AMZN shares currently sell for 775. The stock pays no dividend. The current risk-free rate is 1.50% compounded continuously. You believe AMZN European options, with a strike price of 780, maturing in 24 trading days, should be selling for an implied volatility of 21%. (Assume there are 252 trading days in a calendar year.)

Using the Black-Scholes Merton model, if the expected volatility of Amazon stock increased to 30%, what would happen to the price of a put? (Hint: with 30% implied volatility N(d₁)=0.4969 and N(d₂)=0.4600).

Group of answer choices

Put will decrease in value to between 15.0 put value <20.0

Put will increase in value to between 20.0 put value <25.0

Put will decrease in value to between 10.0 put value <15.0

Put will increase in value to between 25.0 put value <35.0

Put will remain unchanged