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#2: We assume the effective 6-month interest rate is 3%, the S&R 6-month forward price is $1100, the premium on a 6-month S&R call is

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#2: We assume the effective 6-month interest rate is 3%, the S&R 6-month forward price is $1100, the premium on a 6-month S&R call is $87.32 and the premium on a put with the same strike price is $61.80. What is the strike price? (A) 1074.71 (B) 1073.71 (C) 1076.71 (D) 1077.71 (E) 1075.71

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