The options on the stock of the Petronas Gas Berhad have the following input values:

Stock price = $55

Strike price = $52

Risk-free rate = 0.10

Standard deviation = 0.33

Time to maturity = 0.4

(Assume that no dividends are currently being paid and use BSOPM model)

If time to maturity increases to 0.5, determine the value of a put on Petronas Gas's stock if the other inputs do not change. Assume no dividends.

a. $1.91

b. $1.75

c. $2.51

d. $2.30