Find the Value of a One-Year Call Option on €10,000

Multiple Choice

Find the value of a one-year call option on €10,000 with a strike price of $15,000. In one year the exchange rate (currently S₀($/€) = $1.50/€) can increase by 60% or decrease by 37.5% . The current one-year interest rate in the U.S. is i_$ = 4% and the current one-year interest rate in the euro zone is i_€ = 4%.

A) €1,525.52
B) $3,328.40
C) $4,992.60
D) €2,218.94
E) None of the above