Suppose the current exchange rate is $1.42/€, the interest rate in the United States is 4.0%, the interest rate in the EU is 6%, and the volatility of the $/€ exchange rate is 20%. Using the Black-Scholes formula, the price of a three-month European call option on the Euro with a strike price of $1.45/€ will be closest to: Select one: a. $0.040/€ b. $0.097/€ c. $0.059/€ d. $0.078/€

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