A stock price is currently $30. In the next two-month period it is expected to increase by 8% or reduce by 10%. The risk-free interest rate is 5%. What is the value of a derivative that pays off max[(30-ST), 0]^2, where is the ST is stock price in two months?

Select one:

a. 3.00

b. 3.25

c. 3.55

d. 3.66

e. 3.75