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U.S. Dollar/Euro. The table indicates that a 1-year call option on euros at a strike rate of $1.2504/ will cost the buyer $0.0630/, or 4.97%.
U.S. Dollar/Euro. The table indicates that a 1-year call option on euros at a strike rate of $1.2504/ will cost the buyer $0.0630/, or 4.97%. But that assumed a volatility of 12.000% when the spot rate was $1.2674/. What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2476/?
The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2476/ would be $____/.(Round to four decimal places.)
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