Question: Let S = $42, s = 31%, r = 4.5%, and d = 2% (continuously compounded). Compute the Black-Scholes price for a $35-strike European put

  1. Let S = $42, s = 31%, r = 4.5%, and d = 2% (continuously compounded). Compute the Black-Scholes price for a $35-strike European put option with 6 months until expiration.(the value 0.99837.)

a.0.60

b. 1.21

c. 0.00

d. 8.21

e. 0.84

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