A Stock Is Selling for $62 Per Share

Multiple Choice

A stock is selling for $62 per share. A call option with an exercise price of $65 sells for $3.85 and expires in three months. The risk-free rate of interest is 2.8 percent per year, compounded continuously. What is the price of a put option with the same exercise price and expiration date?

A) $6.74
B) $6.23
C) $6.67
D) $6.40
E) $6.95