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The current stock price of Johnson & Johnson (J&J) is $80, and the stock does not pay dividends. The instantaneous risk-free rate of return is
The current stock price of Johnson & Johnson (J&J) is $80, and the stock does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous standard deviation of J&J's stock is 40%. You want to purchase a put option on this stock with an exercise price of $71 and an expiration date 45 days from now. Assume 365 days in a year Using Black-Scholes, the put option should be worth __________ today.
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