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IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent.

IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the value of a put option with strike price 51 and maturity 12 months?

a.

1.1797
b.

1.9353
c.

0.62718
d.

3.2557

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