Please see attached sheet for complete description of the problem.
British Pound Spot Price $1.55
Annual. 30-day sterling interest rate 10%
Annual. 30-day U.S. interest rate 8.50%
Annual. Stand. Dev. Of 17%
dollar:pound exchange rate
Calculate the value of a 30-day PHLX call option on the pound at a strike price of $1.57.
The value of call option is calculated using Black-Scholes model.