In a One-Period Binomial Model, Assume That the Current Stock

Multiple Choice

In a one-period binomial model, assume that the current stock price is $100, and that it will rise to $110 or fall to $90 after one month. If the risk-free rate is 0.1668% per month in simple terms, what is the price of a 99-strike one-month put option?

A) $4.02
B) $4.42
C) $4.49
D) $4.57