Consider a European put option ("put", p) on a stock that does not pay dividends. The current price for the share (0) is 40 and the option has an exercise price (strike, K) equal to 37. The risk-free interest rate is 5% p.a.continuous and the share has a volatility equal to 30%. Time to lapse is three months

Show that the value of the put option is 0,96?