6) Let S = $40, r = 8% (continuously compounded), d = 1%, s = 25%, T = 2. In this situation, the appropriate values of u and d are 1.37713 and 0.83527, respectively. Using a 2-step binomial tree, calculate the value of a $45-strike American put option.

Use: Table 1: Table of the Standard Normal Cumulative Distribution Function ?(z): https://math.ucalgary.ca/files/math/normal_cdf.pdf

a. $4.987

b. $6.159

c. $6.014

d. $5.402

e. $4.603