b. You have written a European call option for 1000 shares in Company B.

The strike price is 23.00 per share and the option price 3.55 per share. The current share price is 24.95 and the option will expire in 60 days.

At the expiration date the share price is 26.25.

Referring to Part (b) and assuming the continuous compounding interest rate is 1.75% what would you expect the price of a Put option to be at the time you wrote the call option?