Consider a One-Year Maturity Caplet on Underlying Six-Month Libor at a Strike

Multiple Choice

Consider a one-year maturity caplet on underlying six-month Libor at a strike rate of 6%. If the forward rate is lognormal with volatility $\sigma = 0.10$ , and the one-year spot rate is 5%, what is the price of a $100,000-notional caplet if the (1,1.5) -year forward rate is 6%?

A) $113.80
B) $139.34
C) $160.96
D) $227.59