Suppose that the spot price of a Canadian dollar is U.S. $0.91 and that the exchange rate has a volatility of 4% per year. Risk-free interest rates are 4% in the U.S. and 2% in Canada.

1. Calculate the price of a 3-month European call option to buy one Canadian dollar for U.S. $0.91. Express your answer in terms of the cumulative normal distribution function, N(x), as in the answers to question 16 in part 1.
2. What is the price of a 3-month option to buy U.S. $0.91 for one Canadian dollar?