
European put option
Hi all, any ideas on this....
A European put option with strike price £K and maturity 6 months (= 0.5 years) is
written on a stock whose price follows a G.B.M. Suppose that the current price of stock is £S0 = 20, the risk free interest rate is 5% and the volatility is $\displaystyle \sigma^2$ = 4% (both per annum).
Find the fair price of this option. Leave your answer in terms of K

Hi. Did you solve it? I'd like to see how...
I tried and came out with lognormal CDF. Meaning, I could not write the PUT value as a simple function of K.
If you got to the solution, can you pls share? Thanks!