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)

Determine the price of a put on Petronas Gas Berhad's stock with a 4 percent annual dividend.

a. $2.40

b. $2.56

c. $1.95

d. $2.85