Diane needs 10,000 bushels of grain in 3 months. Currently, 1 bushel of grain is selling for $2 .73 for immediate delivery, but if Diane buys the grain now, she will have to pay storage costs of $5,500. She is considering purchasing a futures contract for delivery 3 months from now, so that instead of purchasing the grain today, she will invest her money in Treasury bills. Three-month Treasury bills offer an annual rate of return of 6%. According to the law of one price, what should the futures price of grain for delivery in 3 months be?

Question 4 options:

a) $2.73

b) $2.77

c) $3.24

d) $3.32