Consider an asset that trades at $100 today. Call and put options on this asset are available at an exercise price of $100. The options expire in 275 days and the volatility is 0.45. The continuously compounded risk-free rate is 3%. N(d1) = 0.5987and N(d2) = 0.4443. Calculate the value of the European put option using the Black-Scholes-Merton model. a. $16.20 b. $15.20 c. $14.20