MFE question from SOA's Sample question

 Company A is a U.S. international company, and Company B is a Japanese local
company.  Company A is negotiating with Company B to sell its operation in
Tokyo to Company B.  The deal will be settled in Japanese yen.  To avoid a loss at
the time when the deal is closed due to a sudden devaluation of yen relative to
dollar, Company A has decided to buy at-the-money dollar-denominated yen put of
the European type to hedge this risk.
 You are given the following information:
(i) The deal will be closed 3 months from now.
(ii) The sale price of the Tokyo operation has been settled at 120 billion Japanese
yen.
(iii) The continuously compounded risk-free interest rate in the U.S. is 3.5%.
(iv) The continuously compounded risk-free interest rate in Japan is 1.5%.
(v) The current exchange rate is 1 U.S. dollar = 120 Japanese yen.
(vi) The natural logarithm of the yen per dollar exchange rate is an arithmetic
Brownian motion with daily volatility 0.261712%.
(vii)  1 year = 365 days; 3 months = ¼ year.
 Calculate Company A’s option cost.