What is the price of a European put option on a non-dividend-paying stock when the stock price is $99, the strike price is $101, the continuously compounded risk-free rate is 2% per annum, the standard deviation is 35% per annum, and the time to maturity is six months? (hint: use the BS model)

a.

$11.36

b.

$8.38

c.

$10.30

d.

$9.31