Q.4 (30 marks) Montagne Corporation must pay its South Korean supplier $1250 million in six months. It is thinking of buying 10 won call options (contract size is \#125 million) at a strike price of $0.000800 in order to protect against the risk of a rising won. The premium is 0.0015 cents per won. Alternatively, Montagne could buy 10 six-month won futures contracts (contract size is \#125 million) at a price of $0.0007940 per won. The current spot rate is $1=$0.0007823. Suppose Montagne's treasurer believes that the most likely value for the won in 180 days is $0.0007900, but the won could go as high as $0.0008400 or as low as $0.0007500. a) Calculate Montagne's maximum gains and losses on the call option position and the futures position within its range of expected prices. Ignore transaction costs and margins. (20 marks) b) Calculate what Montagne would gain or lose on the option and futures positions if the South Korean won settled at its most likely value. (5 marks) c) What is Montagne's break-even future spot price on the option contract? On the futures contract? ( 5 marks)