Find the Black-Scholes Price of a Six-Month Call Option Written

Multiple Choice

Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.

A) C_e = $0.63577
B) C_e = $0.0998
C) C_e = $1.6331
D) none of the above