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1.A stock price is currently $112. Stock price move up by 10% or down by 14%. The risk-free interest rate is APR 2% with continuous

1.A stock price is currently $112. Stock price move up by 10% or down by 14%. The risk-free interest rate is APR 2% with continuous compounding. What is the value of a six-monthEuropeanputoption with a strike price of $115 using one-step binomial option pricing model?

Less than 1.0

Larger than 1.0 but less than 3.0

Larger than 3.0 but less than 6.0

Larger than 6.0 but less than 9.0

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