Assume the spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the value of a six-month call and a put option with a strike price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.5 percent. Assume the annualized volatility of the Swiss franc is 14.2 percent. Use the European option-pricing models to value the call and put option.  Option    Value Call                   cents Put                   cents

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Assume the spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the value of a six-month call and a put option with a strike price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.5 percent. Assume the annualized volatility of the Swiss franc is 14.2 percent. Use the European option-pricing models to value the call and put option. 

Option    Value

Call                   cents

Put                   cents

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