正确答案：
3 (a) The investment bank is offering to sell to Daylon plc an option to sell Mondglobe ordinary shares at a price no worse than 5% below the current market price of 360 pence. This is a put option on Mondglobe shares at a price of 342 pence. The Black-Scholes option pricing model may be used to estimate whether or not the option price is a fair price. The value of a put option may be found by first estimating the value of a call option and then using the put-call parity theorem.Basic data:Share price 360 penceExercise price 342 penceRisk free rate 4% (0·04)Volatility is measured by the standard deviation. The variance is 169% therefore the standard deviation, σ is 13% (0·13)The relevant period is six months (0·5)