Assignment:
Suppose that the spot price of the Canadian dollar is U.S. $0.75 and that the Canadian dollar-U.S. dollar exchange rate has a volatility of 4% per annum. The risk-free rates of interest in Canada and the United States are 9% and 7% per annum, respectively. Calculate the value of a European call option to buy one Canadian dollar for U.S. $0.75 in nine months. Use put-call parity to calculate the price of a European put option to buy U.S. $0.75 with one Canadian dollar in nine months?