Risk free rate for pounds = 4%
Risk free rate for dollars = 6%
Spot exchange rate = 0.65 pounds / dollar
Strike = 0.64 pounds / dollar
volatility = 0.1
Calculating the price in pounds of a pound denominated put option on dollars, where the domestic risk free rate is 4% and the foreign risk free rate is 6%, I am getting a price different than what I thought would be the equivalent call.
For this call, I calculated the price in dollars of a dollar denominated call option on pounds and then multiplied the resulting price by 0.65. I used 6% as the domestic risk free rate and 4% as the foreign risk free rate.
What is the proper treatment to get the equivalent dollar denominated call on pounds?