Question: U.S. Dollar/Euro.The table (below), indicates that a 1-year call option on euros at a strike rate of $1.2496/ will cost the buyer $0.0506/, or 4.03%.

U.S. Dollar/Euro.The table (below), indicates that a 1-year call option on euros at a strike rate of $1.2496/ will cost the buyer $0.0506/, or 4.03%. But that assumed a volatility of 10.500% when the spot rate was $1.2569/. What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2484/?

The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2484/ would be $00/

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