Suppose the LEPO Has an Exercise Price of One Cent,the $\$ 11.97$

Multiple Choice

Suppose the LEPO has an exercise price of one cent,the share price of the underlying share is currently $13.25,the time to expiry is two months,the risk-free rate is 5.0% p.a.and the present value of the dividend is $0.84.What would be the price of this LEPO?

A) $\$ 11.97$
B) $\$ 12.50$
C) $\$ 12.79$
D) $\$ 13.00$