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