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A stock is selling for $20 and the 3-month put option on the stock has exercise price of $20. The continuous risk free rate is 6.4% and the variance of stock returns is 16%. If the variance of the stock returns rises to 25%, what is the new value of the put option? 1) Between 1.400 and 1.499 2) Between 1.500 and 1.599 3) Between 1.600 and 1.699 4) Between 1.700 and 1.799 5) Between 1.800 and 1.899
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