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Assume spot Swiss franc is $0.7200, the three-month forward rate is $0.7000, the annualized three-month Eurodollar rate is 4.0 percent, and the annualized volatility of

Assume spot Swiss franc is $0.7200, the three-month forward rate is $0.7000, the annualized three-month Eurodollar rate is 4.0 percent, and the annualized volatility of the Swiss franc is 12.0 percent. Use the European option-pricing model to value a three-month European call option with a striking price of $0.6850.

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