Question $8$

$10pts$

Anderson Industries' common stock is currently selling for $$37\mathrm{.}85.$ They have both calls and puts with an exercise price of $$40\mathrm{.}00.$ Both options have $35$ days remaining until they expire, and the standard deviation of Anderson's returns is $21\mathrm{.}0\%.$ If the risk$-$free rate is $3\mathrm{.}5\%,$ what is the theoretical price of Anderson's put options?