The spot exchange rate is $1.80 = 1.00. The dollar-based yield to maturity is i$= 3%. Expected inflation over the next three years is $= 2% in the U.S.,and = 3% in the U.K. Find the value of a three-year dual currency bond with a par value of $1,000 and the cash flows detailed in the diagram. Annual coupons will be paid in U.S. dollars at 5% coupon rate, and a 500 final payment will be made at the maturity.

A. $927.62. B. $941.30. C. $965.06. D. $987.06.