Question: Question 3 1 pts Question 3 1 pts Compute the price of a gap put option with maturity 12 months, that pays at maturity 95

Question 3 1 pts Compute the price of a gap put option

Question 3 1 pts

Question 3 1 pts Compute the price of a gap put option with maturity 12 months, that pays at maturity 95 - S whenever S < 108, where S denotes the stock price at maturity. Assume that the option is written on a non-dividend paying stock currently trading at $98. The interest rate is 5.4% per year with continuous compounding and the volatility of stock returns is 60% per year. Express your answer with two decimals.

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