Intro

The current price of a non$-$dividend$-$paying stock is $$55\mathrm{.}63$ and the annual

standard deviation of the rate of return on the stock is $40\%.$ A European put

option on the stock has a strike price of $$50$ and expires in $0\mathrm{.}7$ years.

The risk$-$free rate is $3\%($continuously compounded$).$

Part $1$

What is the price of the option?

Part $2$

What is the delta of the option?