Question

What is the price of a European put option on a non-dividend-paying stock when the stock price is $138, the strike price is $140, the risk-free interest rate is 5% per annum, the volatility is 35% per annum, and the time to maturity is six months? (Use the Black-Scholes formula from chapter 13)

a.

$13.92

b.

$1.46

c.

$12.46

d.

$2.05

e.

$6.96

Excel formula and snip required. Thankyou