##### 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 $ | Financial Risk Manager Part 1 Quiz - LeetQuiz