U.S. Dollar/Euro. The table above indicates that a 1-year call option on euros at a strike rate
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U.S. Dollar/Euro. The table above indicates that a 1-year call option on euros at a strike rate of $1.25/€
will cost the buyer $0.0632/€, or 4.99%. But that assumed a volatility of 12.000% when the spot rate was $1.2674/€. What would that same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2480/€?
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Related Book For 
Fundamentals Of Multinational Finance
ISBN: 9781292215211
6th Global Edition
Authors: Michael Moffett
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