You have ordered a Rolls Royce car for the price of 200,000 British pounds, which you will pay when the car is delivered to you in three months. The current exchange rate is 1.60 US dollars per British pound, and your insanely rich mom will give you US $320,000 three months from now. Because the US dollar may lose value, you now buy appropriate 3-month at-the-money currency options of the European type to exactly cover the shortfall in case it occurs.

You are given:

(i) The continuously compounded risk-free interest rate in the United States is 1%.

(ii) The continuously compounded risk-free interest rate in the United Kingdom is 2%.

(iii) The volatility of the dollar/pound exchange rate is 20%.

Under the Black-Scholes framework, determine the total cost of the currency options in US dollars.