A Put Option That Expires in Eight Months with an Exercise

Multiple Choice

A put option that expires in eight months with an exercise price of $57 sells for $3.85.The stock is currently priced at $59,and the risk-free rate is 3.1 percent per year,compounded continuously.What is the price of a call option with the same exercise price and expiration date?

A) $6.67
B) $7.02
C) $7.34
D) $7.71
E) $7.80