The current price of a stock is $91 and the annual standard deviation of the rate of return on the stock is 42%. The stock is expected to pay dividends of $1.72 in 2 months and $1.72 in 5 months. A European put option on the stock has a strike price of $120 and expires in 0.7 years. The risk-free rate is 3% (continuously compounded).

What is the present value of the dividends?

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

What is the value of N(-d₂)?

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