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Assume the spot Swiss franc is $0.7010 and the six-month forward rate is $0.6970. What is the Value of a six-month call option with a

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Assume the spot Swiss franc is $0.7010 and the six-month forward rate is $0.6970. What is the Value of a six-month call option with a strike price of $0.6810 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the binomial optionpricing model to value the call option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Enter your answer in cents per Swiss Franc.)

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