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? Group of answer choices

$1.06

$1.57

$2.12

$2.63