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Suppose that the spot price of one Canadian dollar is U.S. $0.70 and the Canadian dollar/U.S. dollar exchange rate has a volatility of 20% per

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Suppose that the spot price of one Canadian dollar is U.S. $0.70 and the Canadian dollar/U.S. dollar exchange rate has a volatility of 20% per annum. The risk free rates (continuously compounded) in Canada and the United States are 6% pa and 4% p.a. respectively. Calculate the value of a nine-month European put option with an exercise price of U.S. S0.75 using the Garman-Kohlhagen model (GKM model)

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