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What is the Value of a six-month call option

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Question - Assume the spot Swiss franc is $0.7020 and the six-month forward rate is $0.6990. What is the Value of a six-month call option with a strike price of $0.6820 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the binomial option-pricing model to value the call option.

Reference no: EM132903794

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