The Current Spot Exchange Rate Is $1

question 68

Multiple Choice

The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00.Consider a three-month American call option on €62,500.For this option to be considered at-the-money,the strike price must be

• A)$1.60 = €1.00
• B)$1.55 = €1.00
• C)$1.55 * (1+i_$)^3/12 = €1.00 *(1+i_€)^3/12
• D)none of the above

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