Find the value of an at the money option to sell 12,500 for 10,000. In the next period, the euro can strengthen against the pound by 25 percent (i.e., each euro will buy 25 percent more pounds) or weaken by 15 percent. The risk-free rate in the Euro zone is 4 percent, and the risk-free rate in the United Kingdom is 4 percent. Choose the answer that is closest to yours.

1,502 1,563 901 938