The Current Spot Exchange Rate Is $1

question 94

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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