Which put option price is more sensitive to the change in interest rate, i.e., having large magnitude change in option price? Assume that everything else keep the same (i.e., same underlying stock, strike price, interest rate, stock volatility, and so on).

Option 1: European puts p1 (T=2 months) Option 2: European puts p2 (T=3 months)

a. Both options have the same sensitivity to the change in interest rate.

b. Option 2

c. Option 1

d. cannot be determined