Find the Dollar Value Today of a 1-Period At-The-Money Call

Multiple Choice

Find the dollar value today of a 1-period at-the-money call option on €10,000. The spot exchange rate is €1.00 = $1.25. In the next period, the euro can increase in dollar value to $2.00 or fall to $1.00. The interest rate in dollars is i_$ = 27.50%; the interest rate in euro is i_€ = 2%.

A) $3,308.82
B) $0
C) $3,294.12
D) $4,218.75