U.S. Dollar-Euro. The table, indicates that a 1-year call option on euros at a strike rate of $1.2503 = 1.00 will cost the buyer $0.0554 per , or 4.37%. But that assumed a volatility of 10.500% when the spot rate was $1.2667 = 1.00. What would that same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2485 = 1.00? Data table The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2485 = 1.00 would be $ /. (R Pricing Currency Options on the Euro A U.S.-based firm wishing to buy or sell euros (the foreign currency) Variable Value A European firm wishing to buy or sell dollars (the foreign currency) Variable Value Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) SO $ 1.2667 So 0.7895 FO $ 1.2575 FO 0.7953 $ 1.2503 0.7998 Domestic interest rate (% p.a.) rd 1.454 % rd 2.185 Foreign interest rate (% p.a.) rf 2.185 % rf 1.454 % Time (years, 365 days) T 1.000 1.000 Days equivalent 365.00 365.00 Volatility (% p.a.) 10.500 % 10.500 % d1 0.1072 d1 -0.0012 d2 0.0022 d2 -0.1062 N(d1) 0.5427 N(d1) 0.4995 N(d2) 0.5009 N(d2) 0.4577 Call option premium (per unit fc) $ 0.0554 C 0.0305 Put option premium (per unit fc) (European pricing) P $ 0.0483 0.0349 Call option premium (%) 4.37 3.86 Put option premium (%) 3.81 % 4.42 %