Find the Value of a European Foreign Currency Call If

Multiple Choice

Find the value of a European foreign currency call if the spot rate is $5.25,the exercise price is $5.40,the domestic interest rate is 6.1 percent,the foreign interest rate is 5.5 percent,the call expires in one month,and the volatility is .32.(The interest rates are continuously compounded. )

A) $0.167
B) $0.15
C) $0.140
D) $0.131
E) none of the above