Suppose that the spot price of the Canadian dollar is U.S. $0.75 and that the Canadian dollar/U.S. dollar exchange rate has a volatility of 10% per annum. The risk-free rates of interest in Canada and the United States are 1% and 1.25% per annum, respectively.

Calculate the value of a European call option to buy one Canadian dollar for U.S. $0.95 in nine months.

Call premium: $ ___________.

Use put-call parity to calculate the price of a European put option to sell one Canadian dollar for U.S. $0.95 in nine months.

Put premium: $ ___________.

What is the price of a call option to buy U.S. $0.95 with one Canadian dollar in nine months?

Call premium: $ ___________.