It is January 1 and a 1.5-year investment gives a return of 2% continuously compounded. An investor would like to make use this opportunity, but his investment horizon is only 1 year and 3 months (1.25 year). If the price of the March Eurodollar futures contract maturing next year is 98.20, what is the return the investor can earn over his investment horizon?

A. 2.044% per annum

B. 2.055% per annum

C. 2.077% per annum

E. 2.088% per annum

Why is answer B?