You are in New Zeatand. You are planning to price an American put opton on US dollars, maturing in 21 months. The current excharuge rate in orie ths dollar per 1.00 NZ doilars, while the option's strike will be 1.05. You plan to use a 2 step tree. The New Zealand intereat rate is 9 alow while the US interest rete is 0.50st (both with continuous compounding). You have calculated that an appropriate up move for the tree would be 1 is 1857 . a down moje would be 0.8427 and a risk-neutral probability of an up move would be 71.75. What is the value of the option? 0.0394 0.0697 0.0684 a..242