For a European put option on a stock with one year to expiry, you are given: (1) The price of the stock is 40. (2) The strike price is 40. (3) The continuously compounded risk-free interest rate is 0.03. (4) The continuous dividend rate of the stock is 0.03. (5) The price of the option is 5.54. Determine the implied volatility of the stock using the Black-Scholes formula.
