Assume Annual Compounding $\sigma = 0.30$ at What Strike Price Will One-Year Maturity Call and the BDT

Multiple Choice

Assume annual compounding. The one-year and two-year zero-coupon rates in the BDT model are 6% and 7%. The volatility is given to be $\sigma = 0.30$ . At what strike price will one-year maturity call and put options on a 7.5% coupon (annual pay) bond at a strike of $100 (ex-coupon) have equal prices?

A) $98.32
B) $99.52
C) $100.12
D) $101.42