A stock price is currently $42. The risk-free interest rate is APR 4% with continuous compounding. What is the value of a six-monthAmericanput option with a strike price of $46 using two-step binomial option pricing model? Stock price move up by 5% or down by 7% for each three month.

a)Less than $3.0.

bLarger than $3.7 but less than $4.3

cLarger than $4.3 but less than $5.0.

d)Larger than $5.0.