A FI manager purchases a zero-coupon bond that has two years to maturity. The manager paid $76.95 per $100 for the bond. The current yield on a one-year bond of equal risk is 12%, and the one-year rate in one year is expected to be either 16.65% or 15.35%. Either rate is equally probable. If the manager buys a one-year option with an exercise price equal to the expected price of the bond in one year, what premium should be paid for this option? A B $0.2143 per $100 of bond option purchased $1.2768 per $100 of bond option purchased $0.2321 per $100 of bond option purchased D $1.1652 per $100 of bond option purchased E $0.4420 per $100 of bond option purchased