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 stocks returns is 0.25. The annual risk-free rate is 6%.

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

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