Rose Industries is currently trading for $47 per share. The stock pays no dividends. A one-year European call option on Rose Industries with a strike price of $45 is currently trading for $7.45. If the risk-free interest rate is 6% per year, then calculate the price of a one-year European put option on Rose Industries with a strike price of $45)

Options:

a) $2.90

b) $4.00

c) $7.80

d) $1.20