Suppose that oil forward prices for 1 year, 2 years, and 3 years are $101, $85, and $70 per barrel. The 1-year effective annual interest rate is 4.8%, the 2-year interest rate is 5.5%, and the 3-year interest rate is 5.7%. What is the fixed per-barrel price in a 3-year swap that calls for delivery of 2 barrels of oil at the end of the first year, 4 barrels the second year, and 5 barrels the third year?

a.

$77.34

b.

$85.95

c.

$72.24

d.

$81.61

e.

$103.32