Determine the Appropriate Price of a European Put on a Futures

Multiple Choice

Determine the appropriate price of a European put on a futures if the call is worth $6.55,the continuously compounded risk-free rate is 5.6 percent,the futures price is $80,the exercise price is $75,and the expiration is in three months.

A) $12.56
B) $0.54
C) $11.48
D) $1.62
E) none of the above