On April 10, 2020, call and put options to purchase and sell 10,000 euros at $1.0975 per
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On April 10, 2020, call and put options to purchase and sell 10,000 euros at $1.0975 per euro are traded on the Chicago Mercantile Exchange. The options’ expiration date is April 30, 2020. If the dollar interest rate is 0.2%, the euro interest rate is −0.6% (negative 0.6%), and the volatility of the euro is 10%, what should be the price of a call and a put?
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