A U.S. firm holds an asset in Great Britain and faces the following scenario:

State 1 State 2 State 3

Probability 25% 50% 25%

Spot rate $ 2.20 / $ 2.00 / $ 1.80 /

P* 2,000 2,500 3,000

P $ 4,400 $ 5,000 $ 5,400

where,

P* = Pound sterling price of the asset held by the U.S. firm

P = Dollar price of the same asset

The variance of the exchange rate is:

a.) 0.10

b.) 0.0200

c.) 0.002

d.) none of the options