Shares of Bivalve Computer stock currently trade at $36. The annual standard deviation of the underlying stock returns is 20% per year, and the risk-free interest rate is 12%, annual rate, compounded monthly. The stock will pay no dividends or undertake any other capital distributions.

Consider a put option on a share of Bivalve with an exercise price of $39. This option can only be exercised at expiration, in 60 days. Use the binomial model with 2 sub-periods to value this option.