A stock with an annual dividend yield of 3.50% is priced at $154. Over the next 3-months you expect the stock to either be up 10% or down 10%. The risk-free rate is 1% per annum compounded continuously. Compute the value of a 3-month European put option with a strike price of $155 using the binomial tree approach.

Group of answer choices

p $5.00

$5.00 < p 6.00

$6.00 < p 7.00

$7.00 < p 8.00

p > $8.00