Question: The current /$ exchange rate is 77.381. How much would a one-month -denominated call option on $1 cost with a strike of 77.381, given the

The current /$ exchange rate is 77.381. How much would a one-month -denominated call option on $1 cost with a strike of 77.381, given the following information? (i) The continuous risk-free rate = 0.22% (ii) The $ continuous risk-free rate = 3.44% (iii) A one-month $-denominated call option on 1000 with a strike of $12.923 costs $0.58

A. 2.71

B. 2.94

C. 3.08

D. 3.27

E. 3.64

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