老师，不懂哎，根据公式算出put option value= -6.2022，为什么能算出C选项呀

问题如下：

Stock of ABC is currently trading at $48.6. Suppose that volatility is 30% and the continuously compounded risk-free rate is 0.3%. Assume X=45, T=0.25, N(d₁) =0.6352 and N(d₂)=0.5486. Based on the BSM model, the value of put option is:

选项：

A.

$3.586

B.

$6.202

C.

$2.568

解释：

C is correct.

考点：用BSM模型估值

解析：

公式：BSM price of a put option is p = e^–rt XN(–d₂) – SN(–d₁).

其中N(–d₁) = 1 – N(d₁) = 1 – 0.6352 , and N(–d₂) = 1 – N(d₂) = 1 – 0.5486.

Put option = 45e^{−0.003×0.25} (1 – 0.5486) - 48.6(1 – 0.6352) = $2.568