Consider the PHLX 122 Sep EUR European call option. The option has a premium of 4.41 U.S. cents per EUR. The option will expire in 98 days (T-t) in years is equal to 98/365=. 0.2685 year. We will use September futures F_t($/EUR)=$112.53. The rate r is estimated 0.5375 percent. The estimated volatility is 15.985 percent.

Use Black Scholes formula from the book to answer the following questions:

1. i) Find values of d₁and d₂

1. ii) Use N(d₁=.0933)= .5372 and N (d₂=.0064)=.5025 to find BS Call price.

iii) Is the market fairly priced?