A stock price is currently $50. Over each of the next three-month periods it is expected to go up by 696 or down by 696. The risk-free interest rate is 896 per annum with continuous compounding. What is the value of a three-month European put option with a strike price of $51? (e=2.71) (Answer is rounded)

a)1.56

b)1.30

c)0.40

d)0.19

e)0.80