-based firm wishing to buy or sell euros (the foreign currency) Variable Value Spot rate (domestic/foreign) S0 $1.2500 Forward Rate...

A U.S.-based firm wishing to buy or sell euros (the foreign currency)        

Variable Value Spot rate (domestic/foreign) S0 $1.2500 

Forward Rate (Domestic/Foreign) F0 $1.2369 

Strike rate (domestic/foreign) X $1.2025 

Domestic interest rate (% p.a.) rd 1.456% Foreign interest rate (% p.a.) rf 2.858% 

Time (years, 365 days) T 0.750     

Days equivalent   273.75 

Volatility (% p.a.) s 15.000% 

What is the price of this call option?     

a.$0.0131

b.$0.0469

c.$0.0475

d.$0.0810