A stock price is currently $80. It is known that at the end of four months it will be either $75 or $85. The risk-free interest rate is 10% per annum with continuous compounding. What is the price of a four-month European put option with a strike price of $80?

Select one:

a.

$1.80

b.

$1.11

c.

None of the other answers provided is correct

d.

$2.50