Suppose that the zero rates with continuous compounding (per annum) for different maturities in the market are given as: 3-month =7.6%, 6-month =7.8%, 9-month =8.0%, 12-month =8.1%, 15-month =8.2%, 18-month =8.4%. Assume that a bank can borrow or lend at the zero rates in the market. What is the value of an FRA where it will earn 8.8% for a three-month period starting in one year on a principal of 1,000,000? The interest rate is expressed with quarterly compounding.

a. 292.47 b. 241.18 c. 219.93 d. 201.05