The Black-Scholes-Merton formula for pricing a European put option is given by: $p = K e^{-rT} N(-d_2) - S_0 e^{-qT} N(-d_1)$

Since no dividend yield is mentioned, we assume $q = 0$. We are given:

• $S_0 = 120$
• $K = 100$
• $r = 5\% = 0.05$
• $T = 1$ year
• $N(d_1) = 0.7337 \Rightarrow N(-d_1) = 1 - N(d_1) = 1 - 0.7337 = 0.2663$
• $N(d_2) = 0.6313 \Rightarrow N(-d_2) = 1 - N(d_2) = 1 - 0.6313 = 0.3687$

Now substituting the values into the formula: $p = 100 \times e^{-0.05 \times 1} \times 0.3687 - 120 \times 0.2663$ $p = 100 \times 0.9512 \times 0.3687 - 31.956$ $p = 35.071 - 31.956 = 3.115$

The price of the put option is closest to USD 3.12.