Financial Risk Manager Part 1

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Explanation:

$P = (\`$ 20 \times e^{-0.0425 \times 0.5} \times 0.0349) - (\ $25` \times 0.0263) = \`$ 0.02582 \approx \ $0.03`$

(Book 4, Module 61.2, LO 61.d)

Question 46

The current price of a stock is `$25`. A put option with a `$20` strike price that expires in six months is available. $N(d_1) = 0.9737$ and $N(d_2) = 0.9651$ . If the underlying stock exhibits an annual standard deviation of 25%, and the current continuously compounded risk-free rate is 4.25%, the Black-Scholes-Merton value of the put is closest to:

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RRohit

Last updated: June 26, 2026 at 17:00

$0.01.

$0.03.

$0.33.

$0.36.