Pawtucket Patriot Brewing Co. stock currently trades at $45 per share and has an annual volatility o - 50%. The continuous risk-free rate is 6% per year. What is the Black-Scholes price of a put option on Pawtucket Patriot with a strike price of $50 and 3 months to maturity? This stock pays no dividends. O $2.86 O $7.12 O $4.26 O $12.97 $5.09

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 27P
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Pawtucket Patriot Brewing Co. stock currently trades at $45 per share and has an annual volatility o
= 50%. The continuous risk-free rate is 6% per year. What is the Black-Scholes price of a put option
on Pawtucket Patriot with a strike price of $50 and 3 months to maturity? This stock pays no
%3!
dividends.
O $2.86
O $7.12
O $4.26
O $12.97
O $5.09
Transcribed Image Text:Pawtucket Patriot Brewing Co. stock currently trades at $45 per share and has an annual volatility o = 50%. The continuous risk-free rate is 6% per year. What is the Black-Scholes price of a put option on Pawtucket Patriot with a strike price of $50 and 3 months to maturity? This stock pays no %3! dividends. O $2.86 O $7.12 O $4.26 O $12.97 O $5.09
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