Suppose the ETF stock price is currently $95. Assume that for the next 9 months there is 5.5% probability that the stock will appreciate 13% with 3% annualized drift. The appropriate risk-free rate is 2.75% per year with continuous compounding. Now suppose (hypothetically) they decide to pay a dividend, reflecting coupon interest payouts. Assume that the dividend yield is 2 p.a.%. Value the following option using binomial tress and 12-time steps. The daily volatility of daily stock returns is 1.084%.

What is the value of a nine-month European put option with a strike price of $100?