Consider the valuation of a European put on stock XYZ with a strike price of $110 and a term to maturity of three months. Assume the stock price is $100 today and it has a lognormal distribution with volatility of 40% over the life of the option. In addition, the continuously compounded risk-free rate is 2% per year. Using the Black-Scholes formula, answer the questions below a. What is the theoretical value of the put? month, what shoul dthetheoreticalputpricebe? c. What is the risk-neutral probability that you will exercise the option at maturity? d. If the expected stock return is 20%, what is the true probability that the put option will be exercised prior to maturity