Consider a stock put option, P1, with a strike price of $50 and one year to expiry. The stock that the put option is written on pays no dividends. The stock has an implied volatility of 65% p.a. The current riskfree rate is 5% p.a. The current stock price is $70. A. Calculate the value of the put option using the Black-Scholes formula. Explain why such a deep out-of-the-money option still has a positive value. B. An analyst in a large investment fund has made the following statement: Given the volatility smirk, put options are expensive. As crises occur rarely, our fund strategy, that is selling puts, has performed exceptionally. The market is clearly inefficient by not recognising such a simple strategy. Critically evaluate the comment.