1. Use the following information to answer questions 8 and 9. Stock ABC trades for $60 and has a one-year call and put options written on it with an exercise price of $60. ABC pays no dividends. The annual standard deviation estimate is 10%, and the continuously compounded Rf is 5%. The value of the call is $4.09. Chefron, Inc. common stock trades for $60 and has a one-year call option written on it with an exercise price of $60. The annual standard deviation is 10%, the continuous dividend yield is 1.4%, and the continuously compounded Rf is 5%. The value of the put on ABC is closest to:
2. 1. $1.16
   2. $3.28
   3. $4.09