The current stock price of Johnson & Johnson is $70, and the stock does not pay dividends. The instantaneous risk-free rate of return is 7%. The instantaneous standard deviation of J&J's stock is 35%. You want to purchase a put option on this stock with an exercise price of $61 and an expiration date 60 days from now.
Using Black-Scholes, the put option should be worth ______ today.
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