U.S. Dollar/Euro.The table LOADING... indicates that a 1-year call option on euros at a strike rate of $ 1.2502 divided by euro will cost the buyer $ 0.0630 divided by euro, or 4.97%. But that assumed a volatility of 12.000% when the spot rate was $ 1.2671 divided by euro. What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $ 1.2483 divided by euro? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2483/euro would be $ nothing/euro. (Round to four decimal places.) 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 $ 1.2671 S0 0.7892 Forward rate (domestic/foreign) F0 $ 1.2578 F0 0.795 Strike rate (domestic/foreign) X $ 1.2502 X 0.7999 Domestic interest rate (% p.a.) rd 1.452 % rd 2.186 % Foreign interest rate (% p.a.) rf 2.186 % rf 1.452 % Time (years, 365 days) T 1 T 1 Days equivalent 365 365 Volatility (% p.a.) s 12 % s 12 % d1 0.1105 d1 0.0088 d2 -0.0095 d2 -0.1112 N(d1) 0.544 N(d1) 0.5035 N(d2) 0.4962 N(d2) 0.4557 Call option premium (per unit fc) c $ 0.063 c 0.035 Put option premium (per unit fc) p $ 0.0555 p 0.0398 (European pricing) Call option premium (%) c 4.97 % c 4.43 % Put option premium (%) p 4.38 % p 5.04 %