U.S. Dollar/Euro.The table, indicates that a 1-year call option on euros at a strike rate of $ 1.2503 divided by euro$1.2503/

will cost the buyer $ 0.0489 divided by euro$0.0489/, or 3.903.90%. But that assumed a volatility of 10.500%

when the spot rate was $ 1.2542 divided by euro$1.2542/.

What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $ 1.2485 divided by euro$1.2485/?

The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.24851.2485/euro would be $nothing/euro. (Round to four decimal places.)

Pricing Currency Options on the Euro A U.S.-based firm wishing to buy or sell euros (the foreign currency) A European firm wishing to buy or sell dollars (the foreign currency) Variable Value Value Variable SO SO rd Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) $ 1.2542 $ 1.2450 $ 1.2503 1.454 2.187 1.000 365.00 10.500 0.7973 0.8032 0.7998 2.187 1.454 1.000 365.00 10.500 % % EF on % % 0.0120 0.0929 -0.0121 -0.0930 d2 0.5048 0.5370 N(D1) N(D2) N(01) N(D2) 0.4630 0.4952 Call option premium (per unit fc) Put option premium (per unit fc) (European pricing) $ 0.0489 $ 0.0541 0.0345 0.0312 C % 4.33 Call option premium (%) Put option premium (%) 3.90 4.31 3.91 indicates that a 1-year call option on euros at a strike rate of $1.2503/ will cost the buyer $0.0489/ , or 3.90%. But that assumed a volatility of 10.500% when the spot rate was $1.2542/ . What would the same call option cost if the volatility was reduced to 10.500% when the U.S. Dollar/Euro. The table, spot rate fell to $1.2485/ ? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2485/ would be $ 1. (Round to four decimal places.)