Consider an option to buy $10,000$ for $12,500.$ In the next period, if the pound appreciates against the dollar by $37\mathrm{.}5$ percent then the euro will appreciate against the dollar by ten percent. On the other hand, the euro could depreciate against the pound by $20$ percent.

Big hint: don't round, keep exchange rates out to at least $4$ decimal places.

$\backslash$table$[[,$Spot Rates,Risk$-$free Rates$],[,$$$1\mathrm{.}60=1\mathrm{.}00,$i $$3\mathrm{.}00\%$