Suppose that the spot price of the Canadian dollar is U.S. $0.95 and that the Canadian dollar/U.S. dollar exchange rate has a volatility of 8% per annum. The risk-free rates of interest in Canada and the United States are 4% and 5% per annum, respectively.

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

b) 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.

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