Determine the value of a European CALL option with exercise price e 12 and maturity in 1 year. The annual risk-free interest rate is 2%, and a European PUT option with exercise price e 16 and maturity in 1 year has price e 3.5. The price of the underlying asset is e 8.9.

(a) The price cannot be calculated. (b) Between e 1.00 and e 2.00. (c) Between e 2.01 and e 3.00. (d) Between e 3.01 and e 3.50

Solution with steps and proper working out, please