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. $1.55 × (1 + i$)3/12 = €1.00 × (1 + i€)3/12.
B. $1.55 = €1.00.
C. $1.60 = €1.00.
D. none of the options
Answer: B
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