The price of a 1-year U.S. dollar-denominated call option on the Swiss franc with a strike price of $0.95 is $0.20283. The price of an otherwise equivalent put option is $0.03274. The annual continuously compounded U.S. interest rate is 7%. What is the 1-year U.S. dollar-Swiss franc forward price?

Answers:

a. $1.0559/Fr

b. $1.1086/Fr

c. $1.1201/Fr

d. $1.1324/Fr

e. $1.1566/Fr

Option d is the correct answer but can you please show how.