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A European at-the-money call option on 1 million euros has four years until maturity. The exchange rate volatility is 10%. Suppose the U.S. risk-free rate
A European at-the-money call option on 1 million euros has four years until maturity. The exchange rate volatility is 10%. Suppose the U.S. risk-free rate is 2%, the eurozone risk-free rate is 5%, and the current exchange rate is $1.10 per euro. What is the value of the currency call option?
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