The Current Price of YBM Stock S Is $101

Multiple Choice

The current price of YBM stock S is $101.European options with a strike price K = $100 and maturing in T = 6 months trade on YBM.If the call price c is $8.07 and the put price p is $3.63,then the annual continuously compounded risk-free interest rate r is:

A) 4.55 percent
B) 6 percent
C) 6.65 percent
D) 7 percent
E) None of these answers are correct.