Please explain.

Problem 4. Assume the Black-Scholes framework. Consider a one-year at-the-money European put option on a nondividend-paying stock. You are given. (i) The ratio of the put option price to the stock price is less than 5%. (ii) The Delta (mathematical notation A for this greek) of the put option is 0.4364. (iii) The continuously compounded risk-free interest rate is 1.2% Which of the following is closest to the value of o? (A) 0.12 (B) 0.14 (C) 0.16 (D) 0.18 (E) 0.20 Problem 4. Assume the Black-Scholes framework. Consider a one-year at-the-money European put option on a nondividend-paying stock. You are given. (i) The ratio of the put option price to the stock price is less than 5%. (ii) The Delta (mathematical notation A for this greek) of the put option is 0.4364. (iii) The continuously compounded risk-free interest rate is 1.2% Which of the following is closest to the value of o? (A) 0.12 (B) 0.14 (C) 0.16 (D) 0.18 (E) 0.20