A stock price is currently $24. It is known that the stock price either goes up at the gross growth rate (u) of 1.12 or goes down at the gross rate (d) of 0.94 for every 9 month. Dividend yield is zero. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a 9-month European put option with a strike price of $23? (Hint: Use ane-step binomial option pricing.) a.Larger than 2.0 but less than 2.5 b.Less than 1.0 c. Larger than 2.5 d. Larger than 1.0 but less than 1.5 e.Larger than 1.5 but less than 2.0