NOTE: All options below are European option. I. Consider the following option. Long a call option with X-price $0.85/C at a premium of $0.01/C 1. Plot the payoff chart of the above option. (20 points) 2. Mark the break-even point. ( 2 points) 3. Write up the maximum net profit and loss on the grid paper. ( 3 points) II. Consider the following option. Short a put option with X-price $0.87/C at a premium of $0.02/C$ 1. Plot the payoff chart of the above option ( 20 points). 2. Compute and mark the break-even point. ( 2 points). 3. Write up the maximum net profit and loss on the grid paper ( 3 points). III. Consider the following option strategy of two put options. Long a call option with X-price $0.89/C at a premium of $0.02/C \$ Short a call option with X-price $0.99/C$ at a premium of $0.01/C$ 1. Plot the payoff chart of the above option strategy (15 points). 2. Compute and Mark the break-even point on the grid paper ( 4 points). 3. Write up the maximum net profit and loss on the grid paper ( 4 points). 4. Name the above option strategy ( 2 points). IV. (25 points) Find the Black-Scholes price of a six-month call option written on 10,000 with an exercise price of $0.89/C$1.00. The current spot exchange rate is $0.80/C$1.00; The U.S. risk free rate is 5% over the period and the Canadian risk-free rate is 3%. The volatility of the underlying asset is 12 percent. Compute the call option premium. Show all your work. Use the following formulae. Cp=[FTN(d1)XN(d2)]EXP(rusT)d1=Tln(FT/X)+(0.52T)d2=d1(T)FT=Sexp(rusrcad)T