The table below shows the premiums for several currency options (all the options are maturing in 9 months):

Option strike price. option strike price

GBP 0.55 for 1 SGD GBP0.65 for 1SGD

call on SGD GBP0.0641 GBP0.0203

call on SGD GBP 0.0207 GBP0.0746

The spot currency rate on the day when all the above options are priced is GBP 0.58 for 1 SGD.

i. Calculate the current premium for a 9-month maturity call option on GBP with strike price of GBP 0.55 for 1 SGD. Show your working. [3 marks]

ii. Suppose that you hold the call option on GBP specified in part (i) above until maturity. On maturity, the spot currency rate is GBP 0.52 for 1 SGD. What is your terminal payoff? [2 marks]