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The one-year forward price of the Mexican peso is $0.0498 per MXN. The U.S. risk-free rate is 1.25%. The exchange rate volatility is 13%. What

The one-year forward price of the Mexican peso is $0.0498 per MXN. The U.S. risk-free rate is 1.25%. The exchange rate volatility is 13%. What are the values of one-year European call and put options with a strike price of $0.0450.

a. What is the value of the call option?

b. What is the value of the put option?

Report your answer rounded to four decimal places.

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