1.Suppose that the spot price of the Canadian dollar is U.S. $0.95 and that the Canadian dollar/U.S. dollar exchange rate has a volatility of 8% per annum. The risk-free rates of interest in Canada and the United States are 4% and 5% per annum, respectively.(6 points)

N(0.0429)=	0.5171		N(-0.0264)	0.4895
N(-0.0429)=	0.4829		N(-0.0264)=	0.5105
N(0.1429)=	0.5568		N(0.0736)	0.5293
N(-0.1429)=	0.4432		N(-0.0736)=	0.4707
N(0.2429)=	0.5960		N(0.1736)	0.5689
N(-0.2429)=	0.4040		N(-0.1736)=	0.4311

a.Calculate the value of a European call option to buy one Canadian dollar for U.S. $0.95 in nine months. (4 points)

b. Use put-call parity to calculate the price of a European put option to sell one Canadian dollar for U.S. $0.95 in nine months. (2 points)