U.S. Dollar/Euro. The table, , indicates that a 1-year call option on euros at a...
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U.S. Dollar/Euro. The table, , indicates that a 1-year call option on euros at a strike rate of $1.2495/ will cost the buyer $0.0474/, or 3.79%. But that assumed a volatility of 10.500% when the spot rate was $1.2503/. What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2482/? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2482/ would be $. (Round to four decimal places.)
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