Question: A foreign currency is currently worth $1.5 per unit. The domestic and foreign risk-free rates are 5% and 9% per annum (continuously compounded), respectively. The

A foreign currency is currently worth $1.5 per unit. The domestic and foreign risk-free rates are 5% and 9% per annum (continuously compounded), respectively. The volatility of the exchange rate is 15% per annum. What is the value of a 12-month European call option on 1000 units of the foreign currency with a strike price of $1.40 according to the BSM model? (please express your answer in dollar, to the nearest cent, without the dollar sign. Feel free to check your answer using RMFI before your submit.)

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