To use DerivaGem select the first worksheet and choose Currency as the Underlying Type.Select Black-Scholes European as the Option Type. Input exchange rate as 0.64, volatility as15%, risk-free rate as 5%, foreign risk-free interest rate as 4%, time to exercise as 1 year, andexercise price as 0.60. Select the button corresponding to call. Do not select the impliedvolatility button. Hit the Enter key and click on calculate. DerivaGem will show the price ofthe option as 0.0618. Change the exercise price to 0.65, hit Enter, and click on calculateagain. DerivaGem will show the value of the option as 0.0352. Change the exercise price to0.70, hit Enter, and click on Calculate. DerivaGem will show the value of the option as0.0181.