. . Let S(t) denotes the price of a non-dividend-paying stock at time t. Given the following details: Black-Scholes framework is assumed. S(0) = 120 The forward price of a 3-month cash-or-nothing put option, with strike price K = 140, is 0.8106. The annual risk-free interest rate is 3.8%, compounded continuously. Let B be the price of a 3-month European gap option. This option has a payoff of max (0, S(12) 120). Determine the value of B. (10 marks)