6A.1 What is the value of a European call option on U.S. dollars with an exercise price of 100/$ and a maturity date six months from now if the current spot rate of exchange is 80/$ and the continuously compounded risk-free rate in both Japan and the United States is 5 percent? You have estimated the instantaneous standard deviation of the yen/dollar exchange rate as 10 percent per year based on the variability of past currency movements.