Assume that a stock trading for $$30$ today will be

worth either $$25$ or $$35$ in two years. A risk$-$free

asset offers an annualized $3\%$ return $($continuously

compounded$)$ over that time period.

What is the price today of a two$-$year put option on

this stock with a strike price of $$32?$ The maximum

error is $0\mathrm{.}1.$

a$.2\mathrm{.}47$

b$.1\mathrm{.}82$

c$.2\mathrm{.}07$

d$.$ None of these answers

e$.1\mathrm{.}52$