Assume that there are 252 trading days in a year. a) You are given the following information:

The price of the European put option is R4.45. The exercise price is 115. The futures price is 115.65. The time to expiration is 65 days. The continuously compounded risk-free interest rate is 8.75% per annum.

a) Find the price of a European call option on futures contracts.

b) Assume that there are 252 trading days in a year and risk-free interest rates are continuously compounded. Determine the price of a European foreign currency put option if the European call option is at USD 0.05, the exchange spot rate is USD 0.5702, the strike price is USD 0.59, the domestic risk-free interest rate is 5.75% per annum, the foreign risk-free interest rate is 4.95% per annum and the options expire in 45 days.