Caterpillar Company (CAT), a U.S.-based manufacturer of industrial equipment, just purchased a German company that produces plastic nuts and bolts for heavy equipment. The purchase price was 100 million. 20 million has already been paid, and the remaining 80 million is due in six months. The current spot rate is $1.20/. The six-month euro interest rate is 7% per annum, while the six-month US dollar interest rate is 3% per annum. CAT can invest and borrow at these interest rates. A six-month call option on euro with a $1.22/ strike rate has a 1.0% premium, while the six-month put option on euro at the same strike rate has a 2.0% premium. CAT has a WACC of 12% per annum and uses its WACC to calculate opportunity cost. CAT decides to hedge this accounts payable (A/P) in the option market. If the spot rate in six months is $1.15/, the option will _______. The total dollar amount that CAT needs to settle the A/P in six months will be __________. (5 points)

A. Be exercised. $98,560,000

B. Be exercised. $98,617,600

C. Not be exercised. $92,960,000

D. Not be exercised. $93,017,600