The table, indicates that a 1-year call option on euros at a strike rate of $1.2496/ will cost the buyer $0.0502/ or 4.00%. But that assumed a volatility of 10.500% when the spot rate was $1.2562/. What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2478/?

The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2478/ would be $enter your response here/. (Round to four decimal places.)

Table: Pricing Currency Options on the Euro A U.S.-based firm wishing to buy A European-based firm wishing to buy or sell euros (the foreign currency) or sell dollars (the foreign currency) Variable Value Variable Value Spot rate (domestic/foreign) S0 $ 1.2562 S0 0.7961 Forward rate (domestic/foreign) F0 $ 1.2470 F0 0.8020 Strike rate (domestic/foreign) X $ 1.2496 X 0.8003 Domestic interest rate (% p.a.) rd 1.454 % rd 2.187 % Foreign interest rate (% p.a.) rf 2.187 % rf 1.454 % Time (years, 365 days) T 1.000 T 1.000 Days equivalent 365.00 365.00 Volatility (% p.a.) s 10.500 % s 10.500 % d1 0.0327 d1 0.0727 d2 -0.0723 d2 -0.0323 N(d1) 0.5130 N(d1) 0.5290 N(d2) 0.4712 N(d2) 0.4871 Call option premium (per unit fc) c $ 0.0502 c 0.0337 Put option premium (per unit fc) p $ 0.0529 p 0.0319 (European pricing) Call option premium (%) c 4.00 % c 4.23 % Put option premium (%) p 4.21 % p 4.01 %