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　　The current price of astock is $25. A put option with a $20 strike price that expires in six monthsis available. N(-d1) = 0.0263 and N(-d2) = 0.0349. If theunderlying stock exhibits an annual standard deviation of 25%, and the current continuouslycompounded risk-free rate is 4.25%, theBlack-Scholes-Merton value of the put is closest to:
　　a.$5.00.
　　b.$3.00.
　　c.$1.00.
　　d.$0.03.
　　答案解析：选d
　　P = ($20X e -0.0425x0.5X0.0349)-($25X0.0263) =$0.02582≈$0.03
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