1. Assume that the spot price of the British pound is US$1.55, the 30-day annualized British pounds interest rate is 10%, the 30-day annualized U.S. dollar interest rate is 8.5%, and the annualized standard deviation of the U.S. dollar–British pound exchange rate is 17%.

Calculate the value of a 30-day call option on the British pound at a strike price of $1.57.