The market index currently stands at 650 and has a volatility of 30 percent per annum.

The market index currently stands at 650 and has a volatility of 30 percent per annum. The risk- free rate of interest is 6 percent per annum and the index provides a divided yield of 3 percent per annum. Calculate the value of a three-month European put on that index with an exercise price of 650, using Merton's index option pricing formula.