Determine the Value of an Interest Rate Call Option at the Maturity

Multiple Choice

Determine the value of an interest rate call option at the maturity of a loan if the call has a strike of 12 percent,a face value of $50 million,the loan matures 90 days after the call is exercised,the call expires in 60 days,the call premium is $200,000,and LIBOR ends up at 13 percent.

A) $125,000
B) $83,333
C) $208,000
D) -$75,000
E) none of the above