Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent. A)C_e = $0.63577 B)C_e = $0.0998 C)C_e = $1.6331 D)none of the above

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The Black-Scholes formula for a call option on foreign currency is used, considering the given exchange rate, risk-free rates, and volatility. The calculation results in a price of approximately $0.63577.

Find the Black-Scholes Price of a Six-Month Call Option Written