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A European at - the - money put option on the British pound has 1 year until maturity. The exchange rate volatility is 1 0
A European atthemoney put option on the British pound has year until maturity. The exchange rate volatility is the US riskfree rate is and the UK riskfree rate is all per annum and with continuous compounding The current exchange rate is $ per pound. What is the value of the put option? Hint: All necessary information is included in the quesiton. Use BlackScholesMerton valuation for currency options
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