This question is related to foreign exchange.

Question 13 1 pts Questions 12-13 are based on the following information: Assume the spot Swiss franc is 86.4 cents and the six-month forward rate is 85.5 cents. Suppose there is a six-month European call option with a striking price of 79.5 cents. Assume the annualized volatility of the Swiss franc is 18.8%, and the annualized six-month Eurodollar rate is 4.5%. Use the European option-pricing models developed in the chapter to value the call option. Do the valuation again assuming a put option. This problem can be solved using the FXOPM.xls spreadsheet (posted in this lesson). Everything else equal, if you increase the exercise price, it will lead to option premium for the call option and option premium for the put option. Hint: You can try changing the number of the exercise price in the previous question in the spreadsheet o higher; higher higher; lower lower; higher lower, lower