What is the value of the call option at expiration?

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Your firm has accounts receivable (A/R) of RUB 130,000,000 due in 30 days. The spot exchange rate for the Russian ruble (RUB) is $0.01553/RUB and you have decided to hedge the exchange rate risk by purchasing aCALL OPTION with a strike price of $0.01575/RUB. The option matures in 30 days. Suppose that the spot exchange rate at the end of 30 days is $0.01682/RUB. What is the value of the call option at expiration?

A. $0.00000/RUB
B. $0.01575/RUB
C. $0.00107/RUB
D. $0.00129/RUB

 

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