The Current Stock Price Is $100

Multiple Choice

The current stock price is $100. A $101--strike call option is priced at $7.55. The risk-free one-month rate of interest is 1% in continuously-compounded and annualized terms. Using the Derman-Kani (1994) tree technology for a single period, what is the price of the one-month at-the-money put option?

A) $6.12
B) $6.34
C) $7.55
D) $7.92