Suppose the current exchange rate is $ 1.77 divided by pound , the interest rate in the United States is 5.09 % , the interest rate in the United Kingdom is 3.78 % , and the volatility of the $/ exchange rate is 9.2 % . Use the Black-Scholes formula to determine the price of a six-month European call option on the British pound with a strike price of $ 1.77 / # .

The corresponding forward exchange rate is $ /pound . (Round to four decimal places.)

Using the Black-Scholes formula d1 is , while Upper N1 is . (Round to four decimal places.)

Using the Black-Scholes formula d2 is , while Upper N2 is . (Round to four decimal places.)

The price of the call is $ /pound. (Round to four decimal places.)