A 3-year bond carrying 3.5% annual coupon and $100-par isputableat par 1 year and 2 years from today. Calculate the value of theput optionunder the forward rate curve below.

1-year spot rate: 2.0%;

1-year rate 1 year from now: 3.5%;

1-year rate 2 years from now: 3.9%.

Assume annual compounding. Round your answer to 2 decimal places (nearest cent). It is possible that an option is worth nothing under certain sets of forward rate curve assumptions.