In the Black Scholes and Merton framework we can form an "instantaneously riskless" portfolio of one short option plus "delta" times the current spot...

Libor+0.3%

Assume A prefers a floating rate of interest and B prefers a fixed rate of interest.

If an intermediary charges both parties a 0.3% fee each, and any benefits are spread equally between Firm A and Firm B, what rates could A and B receive on their preferred interest rate? Please show all working. You do not need a diagram to answer this question.