The Current Spot Exchange Rate Is $1 $\left( 1 + i _{\$} \right) ^ { 3 / 12 }$

Multiple Choice

The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00.Consider a three-month American call option on €62,500.For this option to be considered at-the-money,the strike price must be

A) $1.60 = €1.00.
B) $1.55 = €1.00.
C) $1.55 × $\left( 1 + i _{\$} \right) ^ { 3 / 12 }$ = €1.00 × $\left( 1 + i _ { € } \right) ^ { 3 / 12 }$ .
D) none of the options