The Current Price of a Non-Dividend-Paying Stock Is $40

Multiple Choice

The current price of a non-dividend-paying stock is $40.Over the next year it is expected to rise to $42 or fall to $37.An investor buys put options with a strike price of $41.What is the value of each option? The risk-free interest rate is 2% per annum with continuous compounding.

A) $3.93
B) $2.93
C) $1.93
D) $0.93