A European At-The-Money Call Option on a Currency Has Four

Multiple Choice

A European at-the-money call option on a currency has four years until maturity.The exchange rate volatility is 10%,the domestic risk-free rate is 2% and the foreign risk-free rate is 5%.The current exchange rate is 1.2000.What is the value of the option?

A) 0.98N(0.25) -1.11(0.05)
B) 0.98N(-0.3) -1.11N(-0.5)
C) 0.98N(-0.5) -1.11N(-0.7)
D) 0.98N(0.10) -1.11N(0.06)