What Is the Lower Bound of a European Foreign Currency

Multiple Choice

What is the lower bound of a European foreign currency call if the spot rate is $2.25,the domestic interest rate is 5.5 percent,the foreign interest rate is 6.2 percent,the option expires in three months,and the exercise price is $2.20? (The interest rates are continuously compounded. )

A) $0.0457
B) $0.05
C) $0.0793
D) $0.0529
E) none of the above