Q-42. Solution: A

In this case $S_0 = 50$, $K = 50$, $r = 0.1$, $\sigma = 0.3$, $T = 0.25$, and

$$d_1 = \frac{\ln(50/50) + (0.1 + 0.09/2) \cdot 0.25}{0.3\sqrt{0.25}} = 0.2417$$ $$d_2 = d_1 - 0.3\sqrt{0.25} = 0.0917$$

The European put price is:

$$50N(-0.0917)e^{-0.1 \times 0.25} - 50N(-0.2417)$$ $$= 50 \times 0.4634e^{-0.1 \times 0.25} - 50 \times 0.4045 = 2.37$$