Dow Chemical (DOW) is trading at $56 per share. At the end of six months, DOWs stock price can take on only one of two values: it can either go up to 75 or it can decline to 38. The risk free interest rate (continuously compounded) is 1% per year. Assume that the put option on DOW is American. Assuming that u and d values are the same as in the original model above, find the value of DOW today at which you would be indifferent between holding the option and exercising immediately.

S (share price) = 56 Us = 75

K (strike price)= 55 Ud = 38

U = 75/56 = 1.34

D = 38/56 = 0.68