Suppose that the EURO Call option trades at $0.05. The strike price of option is $0.9200 and current spot rate is $0.9203. A Euro forward contract which expires at the same time with option is at $0.9195. Employ this information to find out which one of the following isn't a correct statement.
Time value of the option is $0.0497
US dollar interest rate is lower than Euro interest rate
Intrinsic value of the option is $0.03
The call option price is expected to increase if USD interest rate increases