Consider an American put option on DDS stock, which is currently trading for $100 per share. The put option has a strike price of $110 per share, and expires in exactly two years time. You believe that DDS stock may either increase by 15% or decrease by 15% in each of the next two years, and the yield curve is currently flat at 5% per annum.

On the basis of this information, what is the fair value of this put option closest to (per unit of underlying stock)?

a) 10.41

b) 9.25

c) 7.78

d) 8.74

e) 11.23