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  3. a two-year zero-coupon bond has a par value 100 an

A two-year zero-coupon bond has a par value 100 and is priced to yield 5%...

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Finance

A two-year zero-coupon bond has a par value 100 and is priced to yield 5% per year. The annual risk-free interest rate is 3%. Calculate the approximate premium of a put option on the firms assets, assuming Mertons (1974) model.

a.

$3.69

b.

$9.72

c.

$10

d.

$5.15

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