Assume the spot Swiss franc is $0.7080 and the six-month forward rate is $0.7110. What is the Value of a six-month call option with a strike price of $0.6880 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the binomial option-pricing model to value the call option

Value of Call option in cents per SF