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Consider a 6-month European put option on the Euro. Suppose that the current exchange rate is 1.122 (USD per EUR), the exercise price is 1.165,

Consider a 6-month European put option on the Euro. Suppose that the current exchange rate is 1.122 (USD per EUR), the exercise price is 1.165, the annual interest rate is 2.6% in the US and 0.6% in the Eurozone, and the annual volatility of the exchange rate is 11.5%. Find the price of the option (Show the details of your calculations.)

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