Consider a long forward contract to buy a certain commodity for $55 in 2 years. Assume the current spot price is S₀=50, with expected return 5%, risk-free rate r=8%, volatility =40%. What is the level of loss that will not be exceeded 97.5% of the time in ten days?

a.

39.5

b.

4.3

c.

11.4

d.

5.5