Q: A stock has a current price 40. The continuous annual risk free rate is 2%. An investor wishes to create a purchased collar using options with maturity T = 0.25. Which of the following strike prices cannot be used for the put in the collar?

A) 38.37
B) 39.93
C) 40.01
D) 40.20
E) 41

A: E) 41

Reason: Put price in the collar must be less or equal to the forward priceof 40*exp(0.02*0.25)=40.2005

为什么啊？不明白他的解释？

或者谁有别的办法做这个题？

多谢~