Use the Fact That the Pseudo-Probability of Default at Time

Use the fact that the pseudo-probability of default at time zero is (1/ 2) to answer the questions that follow.
-Consider a floorlet with maturity time 1 and strike price 0.035.What is the time 0 value of the floorlet?

A) 0.0025
B) 0.0000
C) 0.0042
D) 0.0050
E) 0.0021