Consider a 2-year EUROPEAN PUT with a strike price of $65 on a stock whose current stock price is $60. Suppose that there are two time steps, and in each time step the stock price either moves up by 20% or moves down by 20%. Also suppose that risk-free rate is 5%per annum with continuous compounding. What is the value of the European put option?

1. 6.46

2. 4.89

3. 3.75

4. 5.19