Find the value of a call option written on 100 with a strike price of $1.00 = 1.00. In one period, there are two possibilities: the exchange rate will move up by 15 percent or down by 15 percent (i.e. $1.15 = 1.00 or $0.85 = 1.00). The U.S. risk-free rate is 5 percent and the Euro risk-free rate is 7 percent over the period.

$6.25

$8.03

$8.43

$6.57