Assume the spot Swiss franc is $0.7045 and the six-month forward rate is $0.7040. What is the Value of a six-month call oplion winh a strike price of $0.6845 should sell for in a rational market? Assume the annualized six-month Eurodoilar rate is 350 percent Asum the annualized volatility of the Swiss franc is 14.20 percent. Use the binomial option-pricing model to value the ciil optian (Do no round intermediate calculations. Round your answer to 2 decimal places. Enter your answer in cents per Swis Franc)
Value of call option 0.02 cents per SF