Suppose the current exchange rate is 1.80, the interest rate in the United States is 5.25%, the interest rate in the United Kingdom is 4.00% and the volatility of the exchange rate is 10.0%. Use the Black-Scholes formula to determine the price of a six-month European call to option on the British pound with a strike price of 1.80.

The corresponding forward exchange is

Using the Black-Scholes formula d1 is while n1 is

using the Black-Scholes formula d2 is while n2 is

The price of call is

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