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 $0\mathrm{.}25.$

The annual risk$-$free rate is $6\%.$

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

Question $8$ options:

$$2\mathrm{.}11$

$$4\mathrm{.}11$

$$5\mathrm{.}11$

$$3\mathrm{.}11$

$$1\mathrm{.}11$