Calculate the price of a cap on the 90-day LIBOR rate in nine months' time when the principal amount is $1,000. Use Black's model and the following information:

a. The quoted nine-month Eurodollar futures price = 92 (ignore differences between futures and forward rates)

b. The interest rate volatility implied by a nine-month Eurodollar option = 15% per annum

c. The current 12-month interest rate with continuous compounding = 7.5% per annum

d. The cap rate = 8% per annum. (Assume an actual/360 day count.)