A stock price is currently $40. over each ofthe next two three-month periodsi t is expected tog o upb y 10% or down by 10%. the risk-free interest rate is 12% per annum with continuous compounding. what is the value of a six-month american put option with astrike price of $42?
a) $1.56

b) $3.22

c) $5.10

d) $7.42