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15. Suppose the current exchange rate is $1.42/, the interest rate in the United States is 4.0%, the interest rate in the EU is 6%,

15. Suppose the current exchange rate is $1.42/, the interest rate in the United States is 4.0%, the interest rate in the EU is 6%, and the volatility of the $/ exchange rate is 20%. Using the Black-Scholes formula, the price of a three-month European call option on the Euro with a strike price of $1.45/ will be closest to:

Select one:

a. $0.040/

b. $0.097/

c. $0.059/

d. $0.078/

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