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What is the value of six-month call option with strike price

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Problem 1: Assume the spot Swiss franc is $0.7095 and the six-month forward rate is $0.7140. What is the Value of a six-month call option with a strike price of $0.6895 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. (Do not round intermediate calculations. Round your answer to 2 decimal places. Enter your answer in cents per Swiss Franc.)

Reference no: EM132942329

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