Blackwater Limited's common stock is currently trading at $50 per share. The value of a call option on the stock with an exercise price of $49 and an expiry of 3 months is $5.85. The effective annual risk-free rate is 7%.

What is the theoretical price of a put option on Blackwater's stock if the put has the same exercise price and time to expiry?

Select one:

a.$2.25

b.$3.74

c.$3.27

d.$4.03

e.$3.67