The MID Index of the Italian Stock Exchange is currently at 960 and its volatility is expected to be 20% p.a. over the coming year. The dividend yield on the index is 3% p.a. and the continuously compounded risk-free interest rate is 5%. A derivative written on the index pays off $100 in six months if the index is lower than 1,000 at that date and zero otherwise. 

Use a two-step tree to Calculate the value of the derivative?