Assume the spot Swiss franc is $86\mathrm{.}4$ cents and the six$-$month forward rate is $85\mathrm{.}5$ cents. Suppose there is a six$-$month European call option with a striking price of $79\mathrm{.}5$ cents. Assume the annualized volatility of the Swiss franc is $18\mathrm{.}8\%,$ and the annualized six$-$month Eurodollar rate is $4\mathrm{.}5\%.$ Use the European option$-$pricing models developed in the chapter to value the call option. Do the valuation again assuming a put option. This problem can be solved using the FXOPM.xls spreadsheet $($posted in this lesson$).$

The option premium of the call option is $\_\_\_\_\_\_\_$

cents per Swiss Franc, and the option premium of the put option is $\_\_\_\_\_$

cents per Swiss Franc. Please use quotes in cents with two decimal places when you calculate the option premium. Use $365$ days for a year