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