A nine-month dollar-denominated call option on euros with a strike
price of $1.30 is valued at $0.06. A nine-month dollar-denominated put option on euros
with the same strike price is valued at 0.18. The current exchange rate is $1.2/euro and
the continuously compounded risk-free rate on dollars is 7%.
What is the continuously compounded risk-free rate on euros?

(A) Less than 7.5%

(B) At least 7.5%, but less than 8.5%

(C) At least 8.5%, but less than 9.5%

(D) At least 9.5%, but less than 10.5%

(E) At least 10.5%