Using the Black-Scholes formula,calculate the price of a put option from the following information: exercise price $3.00;current share price $3.30;term to expiry three months;standard deviation 0.30 p.a. ;and risk-free interest rate 10% p.a.continuously compounded.
A) $0.1586
B) $1.029
C) $1.9875
D) $0.0559
Correct Answer:
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