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The current stock price of Johnson & Johnson is $72, and the stock does not...

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Accounting

The current stock price of Johnson & Johnson is $72, and the stock does not pay dividends. The instantaneous risk-free rate of return is 3%. The instantaneous standard deviation of J&J's stock is 40%. You want to purchase a call option on this stock with an exercise price of $63 and an expiration date 57 days from now.

Using the Black-Scholes OPM, the put option should be worth __________ today.
1.05
1.12
10.05
10.41

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