Suppose you own a European GBP call / USD put with a strike price equal to spot price and expiry in one month. One month annualized interest rates are 3% in both GBP and USD. If, immediately after entering into the option contract, the FX rate S(USD/GBP) depreciates by 1%, the value of the option will:

Group of answer choices

A. Fall, all else being equal - the delta of this position with respect to the S(USD/GBP) exchange rate is positive.

B. Fall, all else being equal - the delta of this position with respect to the S(USD/GBP) exchange rate is negative

C. Rise, all else being equal - the delta of this position with respect to the S(USD/GBP) exchange rate is negative.

D. Rise, all else being equal - the delta of this position with respect to the S(USD/GBP) exchange rate is positive.

E. None of the other answers.