题目
The current price of a stock is $25. A put option with a $20 strike price that expires in six months is available. N(d1)=0.9737 and N(d2)=0.9651. If the underlying stock exhibits an annual standard deviation of 25%, and the current continuously compounded risk-free rate is 4.25%, the Black-Scholes-Merton value of the put is closest to:
选项
A.$0.01
B.$0.03
C.$0.33
D.$0.36
答案
B
解析
「huixue_img/importSubject/1564170385782607872.png」