Assume the Black-Scholes framework. You are given: (i) The current dollar/euro exchange rate is 1.2. (ii) The

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Assume the Black-Scholes framework. You are given:

(i) The current dollar/euro exchange rate is 1.2.

(ii) The continuously compounded risk-free interest rate in the United States is 2%.

(iii) The continuously compounded risk-free interest rate in Europe is 3%.

(iv) The volatility of the dollar/euro exchange rate is 15%.

For a dollar-denominated nine-month at-the-money European call option on euro, calculate and interpret the values of:

(a) Delta and gamma 

(b) Vega, theta, and rho 

(c) Elasticity

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