Suppose you observe the spot euro at $1.38/, the U. S. risk-free interest rate of 0.25% (continuously compounded), and the European risk-free interest rate of 0.75% (continuously compounded). Identify the theoretical value of a six month foreign exchange futures contract (select the closest answer).

a. $1.3815/

b. $1.3765/

c. $1.3785/

d. $1.3825/

e. $1.3755/