Find the Premium of a Correctly Priced Interest Rate Call

Multiple Choice

Find the premium of a correctly priced interest rate call on 30-day LIBOR if the current forward rate is 7 percent,the strike is 7 percent,the continuously compounded risk-free rate is 6.2 percent,the volatility is 12 percent and the option expires in one year.The notional principal is $30 million.

A) $.0031
B) $93,000
C) $7,817
D) $0.0012
E) $36,000