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16. 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

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16. 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? A. 1.11N(0.7)-0.98N(0.5) B. 1.11N(-0.7)-0.98N(-0.5) C. 1.11N(0.7)-0.98N(0.4) D. 1.11N(-0.06)-0.98N(-0.10)

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