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Euro/British Pound. How would the call option premium change on the right to buy pounds with euros if the euro interest rate changed to 4.15%

Euro/British Pound. How would the call option premium change on the right to buy pounds with euros if the euro interest rate changed to 4.15% from the initial values listed in this table:

Pricing Currency Options on the Euro

A U.S.-based firm wishing to buy

A European firm wishing to buy

or sell euros (the foreign currency)

or sell dollars (the foreign currency)

Variable

Value

Variable

Value

Spot rate (domestic/foreign)

S0

1.4730

S0

0.6789

Forward rate (domestic/foreign)

F0

1.4654

F0

0.6824

Strike rate (domestic/foreign)

X

1.5000

X

0.6667

Domestic interest rate (% p.a.)

rd

2.072

%

rd

4.160

%

Foreign interest rate (% p.a.)

rf

4.160

%

rf

2.072

%

Time (years, 365 days)

T

0.247

T

0.247

Days equivalent

90.00

90.00

Volatility (% p.a.)

s

11.400

%

s

11.400

%

d1

-0.38

d1

0.44

d2

-0.44

d2

0.38

N(d1)

0.35

N(d1)

0.67

N(d2)

0.33

N(d2)

0.65

Call option premium (per unit fc)

c

0.0189

c

0.0241

Put option premium (per unit fc)

p

0.0533

p

0.0086

(European pricing)

Call option premium (%)

c

1.28

%

c

3.55

%

Put option premium (%)

p

3.62

%

p

1.26

%

The call option on British pounds, if the euro interest rate changed to 4.15%, would be [?]/. (Round to four decimal places.)

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