You Are Considering Purchasing a Put Option on a Stock

Multiple Choice

You are considering purchasing a put option on a stock with a current price of $33. The exercise price is $35, and the price of the corresponding call option is $2.25. According to the put-call parity theorem, if the risk-free rate of interest is 4% and there are 90 days until expiration, the value of the put should be ________.

A) $2.25
B) $3.91
C) $4.05
D) $5.52