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Consider a European call option on a currency. The exchange rate is 1.0000, the strike price is 0.9100, the time to maturity is one year,
Consider a European call option on a currency. The exchange rate is 1.0000, the strike price is 0.9100, the time to maturity is one year, the domestic risk-free rate is 5% per annum, and the foreign risk-free rate is 3% per annum. What is a lower bound to the option price?
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