YOUR BANK is thinking to issue a European "Straddle" option of strike price $925.000 and one-year maturity on a two-year zero coupon bond. What should be the issue price / offer price / premium on that Straddle Option?

"A straddle is an options strategy involving the purchase of both a put and call option for the same expiration date and strike price on the same underlying."

For our purpose, consider that when an investor purchases one Straddle option from YOUR BANK, she is buying one European call option and one European put option of strike price $925.000 and one-year maturity on a two-year zero coupon bond.

(Hint: Value of Straddle = Value of Call + Value of Put)

$22.303

$22.526

$7.852

$23.789

$16.409