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DO NOT COPY AND PASTE ANY ANSWER FROM OTHER CHEGG POSTS Please show all work so I can learn. Thanks! _____________________________ You are given: i)

DO NOT COPY AND PASTE ANY ANSWER FROM OTHER CHEGG POSTS

Please show all work so I can learn. Thanks!

_____________________________

You are given:

i) The current exchange rate is 1.20 US dollars per Euro

ii) The price of a one-year dollar denominated call option on the Euro with a strike price of 1.30 $/ is 0.0633

iii) The US dollar continuously compounded risk-free interest rate is 5%

iv) The Euro continuously compounded risk-free interest rate is 6%

Find the price of an otherwise identical (same strike, etc.) put option.

_____________________________

A) Less than 0.05

B) At least 0.05 but less than 0.10

C) At least 0.10 but less than 0.15

D) At least 0.15 but less than 0.20

E) At least 0.20

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