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Assume the spot U.S. dollar-Canadian dollar exchange rate is 1 CAD = 0.7804 USD, the risk-free rate in the U.S. is 2% per annum, the

Assume the spot U.S. dollar-Canadian dollar exchange rate is 1 CAD = 0.7804 USD, the risk-free rate in the U.S. is 2% per annum, the risk-free rate in Canada is 5% per annum and the volatility of the spot U.S. dollar Canadian dollar exchange rate is 30% per annum. Calculate the CAD value of a one-year European call option on one USD with a strike of CAD 1.4600

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