The spot price of the Canadian dollar is 0.8250 USD (USD per CAD). And the CAD...

The spot price of the Canadian dollar is 0.8250 USD (USD per CAD). And the CAD to USD exchnge rate has a volatility of 13% p.a ( per annum)., Further, the risk-free rates of interest in CA and the U.S are 0.45% and 0.75% p.a, respectively. Exchnge rate between the U.S Dollar and Canadian Dollar is 0.8250.

What is the price of a European CALL Option to purchase just 1 CAD for 0.8200USD. Then using the put-call parity condition for European options, find the price of a European put option to sell one Canadian dollar for 0.8200 USD?

Expert Solution

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jeff jeffy answered 1 year ago

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