Question: Consider a continuous time framework where stock prices follow a GBM process. You want to price a one-year European put with strike $45 on Stock

Consider a continuous time framework where stock prices follow a GBM process. You want to price a one-year European put with strike $45 on Stock X. This stock does not pay dividends, is currently priced at $50 per share, and has a volatility of 25%. Elsewhere in the economy, you observe a Stock Y (that also does not pay dividends) priced at $100 per share. Both a one-year call and one-year put on this Stock Y at a strike of $101 are priced at $3.

Based on this information what is the price of the put on Stock X?

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