The Current Price of a Non-Dividend Paying Stock Is $30

Multiple Choice

The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 8%, and u = 1.1 and d = 0.9.

A) $2.24
B) $2.44
C) $2.64
D) $2.84