Find the worth of the put option

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Question: The current stock price of Johnson & Johnson is $74, and the stock does not pay dividends. The instantaneous risk-free rate of return is 4%. The instantaneous standard deviation of J&J's stock is 25%. You want to purchase a put option on this stock with an exercise price of $65 and an expiration date 54 days from now. Using Black-Scholes, the put option should be worth _____ today.

Reference no: EM131965087

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