Delta Airlines,a U.S.company bought an aircraft, A400 from Airbus and was billed 30 million payable in six months. Delta is concerned with the euro payables from International trade and would like to control exchange risk. The current spot exchange rate is $1.22/ and six-month forward exchange rate is $1.30/ at the moment. Delta can buy a six-month put option on Euro with a strike price of $1.257 for a premium of $0.02 per Euro or Delta can buy a six-month call option on Euro with a strike price of $1.25/ for a premium of $0.10 per Euro. Currently, six-month interest rate is 6% p.a. (3% for six months) in the euro zone and 8.0% p.a. (4% for six months) in the U.S. If Delta decides to hedge using options on Euro, what would be the expected' euro payables from the trade? Assume that Delta regards the current forward exchange rate as an unblased predictor of the future spot exchange rate. (Hint: Don't forget future value of option premium.) O $ 37,500,000 OS 40.620.000 D$42.500.000 552,500,000