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Use black scholes model For questions 5 and 6, assume the spot exchange rate for...

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Finance

Use black scholes model

For questions 5 and 6, assume the spot exchange rate for euros is 1.0949 (that is $1.0949 will purchase 1). If the risk free interest rate for US dollars is 1.451%, the risk free interest rate for euro area is -0.250% and the standard deviation of changes in the exchange rate is 0.1126. 5a. What is the price of a 3-month call option on euros with a strike price of 1.0965? b. What is the price of a 3-month call option on euros with a strike price of 1.0985?

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