The price of three-month and nine-month T-bills are $98.788 and $96.270, respectively. In our model of the

Question:

The price of three-month and nine-month T-bills are $98.788 and $96.270, respectively. In our model of the term structure, three months from today the six-month interest rate will be either 5.5% or 5% (in equivalent annual terms). Compute the price of a three-month European put written on the nine-month pure discount bond, with $97.5.
Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity.