U.S. Dollar/British Pound. Assuming the same initial values for the dollar/pound cross rate in this table (below)

, how much more would a call option on pounds be if the maturity increases from

9090

to

270270

days? What percentage increase is this for the length of maturity?

If the maturity increases from

9090

to

270270

days, a call option on pounds would be

$nothing/pound.

(Round to six decimalplaces.)Therefore, the

270270-day

call option would be

$nothing/pound

less

more

than the

9090-day

call option.(Round to six decimal places and select from the drop-down menu.)The percentage increase for the length of maturity is

nothing%.

(Round to four decimal places.)

table:

A U.S.-based firm wishing to buy

A British firm wishing to buy

or sell euros (the foreign currency)

or sell dollars (the foreign currency)

Variable

Value

Variable

Value

Spot rate (domestic/foreign)

S0

$

1.8674

S0

0.5355

Forward rate (domestic/foreign)

F0

$

1.8533

F0

0.5396

Strike rate (domestic/foreign)

X

$

1.8000

X

0.5556

Domestic interest rate (% p.a.)

rd

1.453

%

rd

4.525

%

Foreign interest rate (% p.a.)

rf

4.525

%

rf

1.453

%

Time (years, 365 days)

T

0.247

T

0.247

Days equivalent

90.00

90.00

Volatility (% p.a.)

s

9.400

%

s

9.400

%

d1

0.64800

d1

-0.60212

d2

0.60128

d2

-0.64884

N(d1)

0.74151

N(d1)

0.27355

N(d2)

0.72617

N(d2)

0.25822

Call option premium (per unit fc)

c

$

0.0669

c

0.0041

Put option premium (per unit fc)

p

$

0.0138

p

0.0199

(European pricing)

Call option premium (%)

c

3.58

%

c

0.77

%