1. How much does it cost to hold (i.e., buy) a put-USD option? Do not use the Garman Kohlhagen model.

Consider the following information for an exchange rate: Current spot rate is USD 1.70 for 1 GBP Risk-free US rate of interest is 6% p.a. compounded continuously. Risk-free UK rate of interest is 8% p.a. compounded continuously. Volatility (o) of the currency returns is 20% p.a. Maturity of the option is 9 months. Strike rate of the option is USD 1.50 for 1 GBP The currency options are European in nature