What is the cad-denominated price of a european call option

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Question - Suppose that the spot price of the Canadian dollar is U.S. $0.95 and that the Canadian dollar/U.S. dollar exchange rate has a volatility of 8% per annum. The risk-free rates of interest in Canada and the United States are 3% and 6% per annum, respectively. Calculate the value of a European call option to buy one Canadian dollar for U.S. $0.95 in nine months. Use put-call parity to calculate the price of a European put option to sell one Canadian dollar for U.S. $0.95 in nine months. What is the CAD-denominated price of a European call option to buy one U.S. dollar for Canadian $1.0526(=1/0.95) in nine months?

Reference no: EM132991337

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