A stock is currently trading at $100. In each month, the stock will either increase in price by a factor of u = 1.10 or fall by a factor of d = 0.90. The risk-free rate of interest per month is 0.1668% in simple terms, i.e., an investment of $1 at the risk-free rate returns $1.001668 after one month. What is the price of a 100-strike, three-month American put option?
(a) $7.20
(b) $7.24
(c) $7.70
(d) $7.74