A stock price is currently $100. It is known at the end of two 6 month periods it will be either $110 or $90. The risk-free rate of interest with continuous compounding is 8% per annum. Calculate the value of a 1-year European put option on the stock with an exercise price of $100.

Question 3 options:

A)

$9.61

B)

$8.25

C)

$1.92

D)

$3.45