Intro: The current price of a non-dividend-paying stock is $96 and the annual standard deviation of the rate of return on the stock is 37%. A European put option on the stock has a strike price of $80 and expires in 0.25 years. The risk-free rate is 4% (continuously compounded).

1. What is the value of N(d₁) in the Black-Scholes formula?

2. What is the value of N(d₂)?

3. What should be the price (premium) of the put option?