Blackwater Limiteds 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 Blackwaters 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