Question: 1. 6. Using the Black-Scholes Option Pricing Model, find the call and put option premium with the following information. Spot S = 1.15$/E Strike Price

6. Using the Black-Scholes Option Pricing Model, find the call and put option premium with the following information. Spot S = 1.15$/E Strike Price (K) or Exercise Price (E) = 1.15$/6 Domestic interest rate i $ = 1.2% (continuously compounded) Foreign interest rate i { = 2.2% (continuously compounded) Or you might observe the forward rate, F = 1.1443$/E. Time to maturity= 6months Volatility of the USD/EUR exchange rate o = 10%T. In this problem you should use the binomial option pricing procedure. Suppose that the exchange rate is LEDUSDF' EUR. Let the interest rate be 3 percent in USD and 5% in EUR. Find the price of a European Call with an expiration periocl in 15 months and a strike price of 1.25 USD. Assume this is a one period binomial model, and the 1volatility; is 5 percent

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