Calculate the price of a canadian dollar call option

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Question - The spot rate on March 6 is 1.01 USD/CAD. US and Canadian interest rates are 0.25% and 1 % respectively, implying a F(USD/CAD) for June of 1.0079. Volatility of the exchange rate is estimated a 7%. T is 0.2712. N(d1) = 0.5514 and N(d2) = 5369

Calculate the price of a Canadian dollar Call option with a strike price of 1 USD/CAD.

Reference no: EM133273753

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