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A futures price is currently $40. It is expected to move up to $44 or down to $34 in the next 6 months. The risk-free

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A futures price is currently $40. It is expected to move up to $44 or down to $34 in the next 6 months. The risk-free interest rate is 4% per annum with continuous compounding. Using a one-step binomial tree, what is the value of a 6-month put option with a strike price of $38 ? $1.06 $2.63 $1.57 $2.12

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