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A European at-the-money call option on a currency has four years until maturity. The exchange rate...

A European at-the-money call option on a currency has four years until maturity. The exchange rate volatility is 10%, the domestic risk-free rate is 2% and the foreign risk-free rate is 5%. The current exchange rate is 1.2000. What is the value of the option?

0.98N(0.25)-1.11N(0.05)

0.98N(-0.3)-1.11N(-0.5)

0.98N(-0.5)-1.11N(-0.7)

0.98N(0.10)-1.11N(0.06)

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