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A European at - the - money call option on a currency has four years until maturity. The exchange rate volatility is 1 0 %

A European at-the-money call option on a currency has four years until maturity. The exchange rate volatility is 10%, the domestic risk-free rate is 5% and the foreign risk-free rate is 2%. The current exchange rate is 1.2000. What is the value of the option?

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