An analyst wants to use the Black-Scholes model to value call options on the stock of Ledbetter Inc. based on the following data:
The price of the stock is $45.
The strike price of the option is $50.
The option matures in 12 months.
The standard deviation of the stock’s returns is 0.50, and the variance is 0.25.
The risk-free rate is 5%.
Using the Black-Scholes model, what is the value of the put option?