Determine the value of european call option

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Reference no: EM131172940

Assume that the spot price of Swiss Franc is U.S. $1.05 with a volatility of 7% per annum. The risk-free rates in Switzerland and the U.S. are 3% and 7% per annum. Assume that the U.S. is the home market.

a) Determine the value of a European call option to buy one Swiss Franc for U.S. $1.05 in seven months. Show your calculations.

b) What is the price of a European put option to sell one Swiss Franc for U.S. $1.05 in seven months? Show your calculations.

c) Find the price of a call option to buy U.S. $1.05 with one Swiss Franc in seven months? Show step by step calculations.

Reference no: EM131172940

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