Consider a European put option on a non-dividend paying stock with a strike price $80 and expiration in 4 months. The current stock price is $82. The stock's volatility is 10%. Over the next 4 months the stock price is expected to go up by 6% or down by 6%. The risk-free interest rate is 5% per annum with continuous compounding for all maturities.

(a) Use a one-step binomial tree to calculate the value of this European put option using the no-arbitrage approach. [9 marks] Note: No need to draw a binomial tree in the answer field. Just show your calculations.