Question: An analyst is interested to value put options on the stock of Bulls Inc. The analyst has accumulated the following information: The price of the

An analyst is interested to value put options on the stock of Bulls Inc. The analyst has accumulated the following information:

The price of the stock is $40.

The strike price is $38.

The option matures in 2 months.

The variance of the stock's returns is 0.25.

The annual risk-free rate is 6%.

Using the Black-Scholes model, what is the value of the put option?

A. $1.11B. $2.11C. $3.11

D. $4.11E. $5.11

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