Suppose that the spot price of a Canadian dollar is U.S. $0.75 and that the exchange rate has a volatility of 4% per year. Risk-free interest rates are 9% in the U.S. and 7% in Canada.

a. Calculate the price of a 9-month European call option to buy one Canadian dollar for U.S. $0.75. Express your answer in terms of the the cumulative normal distribution function, N(x).

b. What is the price of a 9-month option to buy U.S. $0.75 for one Canadian dollar?