You are asked to determine the price of a European put option on a stock.

Assuming the Black-Scholes framework holds, you are given:

(i) The stock price is $100.

(ii) The put option will expire in 6 months.

(iii) The strike price is $98.

(iv) The continuously compounded risk-free interest rate is r = 0.055.

(v) δ = 0.01.

(vi) σ = 0.50.

Calculate the price of this put option.

(A) $3.50 

(B) $8.60 

(C) $11.90 

(D) $16.00 

(E) $20.40