The Current Price of a Non-Dividend Paying Stock Is $50

Multiple Choice

The current price of a non-dividend paying stock is $50.Use a two-step tree to value an American put option on the stock with a strike price of $48 that expires in 12 months.Each step is 6 months,the risk free rate is 5% per annum,and the volatility is 20%.Which of the following is the option price?

A) $1.95
B) $2.00
C) $2.05
D) $2.10