U$.$S$.$ Dollar$-$British Pound. Assuming the same initial values for the U$.$S$.$ dollar$-$British pound cross$-$rate in this table

$,$ how much more would a call option on

pounds be if the maturity was doubled from $90$ to $180$ days? What percentage increase is this for twice the length of maturity?

If the maturity increases from $90$ to $180$ days, a call option on pounds would be $

$/.($Round to six decimal places.$)$

Pricing Currency Options on the British pound

A U$.$S$.-$based firm wishing to buy A European$-$based firm wishing to buy

or sell pounds $($the foreign currency$)$ or sell dollars $($the foreign currency$)$

Variable Value Variable Value

Spot rate $($domestic$/$foreign$)$ S$0$ $ $1\mathrm{.}8674$ S$00\mathrm{.}5355$

Forward rate $($domestic$/$foreign$)$ F$0$ $ $1\mathrm{.}8533$ F$00\mathrm{.}5396$

Strike rate $($domestic$/$foreign$)$ X $ $1\mathrm{.}8$ X $0\mathrm{.}5556$

Domestic interest rate $(\%$ p$.$a$.)$ rd $1\mathrm{.}453\%$ rd $4\mathrm{.}525\%$

Foreign interest rate $(\%$ p$.$a$.)$ rf $4\mathrm{.}525\%$ rf $1\mathrm{.}453\%$

Time $($years$,365$ days$)$ T $0\mathrm{.}247$ T $0\mathrm{.}247$

Days equivalent $90$s $90$s

Volatility $(\%$ p$.$a$.)$ s $9\mathrm{.}4\%$ s $9\mathrm{.}4\%$

d$10\mathrm{.}648$ d$1-0\mathrm{.}60212$

d$20\mathrm{.}60128$ d$2-0\mathrm{.}64884$

N$($d$1)0\mathrm{.}74151$ N$($d$1)0\mathrm{.}27355$

N$($d$2)0\mathrm{.}72617$ N$($d$2)0\mathrm{.}25822$

Call option premium $($per unit fc$)$ c $ $0\mathrm{.}06689$ c $0\mathrm{.}0041$

Put option premium $($per unit fc$)$ p $ $0\mathrm{.}0138$ p $0\mathrm{.}0199$

$($European pricing$)$

Call option premium $(\%)$ c $3\mathrm{.}58\%$ c $0\mathrm{.}77\%$

Put option premium $(\%)$ p $0\mathrm{.}739\%$ p $3\mathrm{.}72\%$