Use the following information to answer the next two questions.

The current market price for one share of Kalen Ltd. (KLT) is $24. A call option exists on Kalen with an exercise price of $22 per share that expires in nine months. The continuously compounded risk-free rate is 3.75%, and the annualized standard deviation of returns is 10.25%.

Partial Cumulative Normal Distribution Table

        0.01    0.02    0.03    0.04    0.05    0.06    0.07    0.08    0.09
1.2     0.8869  0.8888  0.8907  0.8925  0.8944  0.8962  0.8980  0.8997  0.9015
1.3     0.9049  0.9066  0.9082  0.9099  0.9115  0.9131  0.9147  0.9162  0.9177
1.4     0.9207  0.9222  0.9236  0.9251  0.9265  0.9279  0.9292  0.9306  0.9319

        0.01    0.02    0.03    0.04    0.05    0.06    0.07    0.08    0.09
1.2     0.8869  0.8888  0.8907  0.8925  0.8944  0.8962  0.8980  0.8997  0.9015
1.3     0.9049  0.9066  0.9082  0.9099  0.9115  0.9131  0.9147  0.9162  0.9177
1.4     0.9207  0.9222  0.9236  0.9251  0.9265  0.9279  0.9292  0.9306  0.9319

Question 24 of 100

Using the information above and the formula for put-call parity, what is the value of a KLT European put option?