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Find the value of a call option written on 100 with a strike price of $1.00 = 1.00. In one period there are two possibilities:

Find the value of a call option written on 100 with a strike price of $1.00 = 1.00. In one period there are two possibilities: the exchange rate will move up by 15% or down by 15% (i.e. $1.15 = 1.00 or $0.85 = 1.00). The U.S. risk-free rate is 5% over the period. The risk-neutral probability of dollar depreciation is 2/3 and the risk-neutral probability of the dollar strengthening is 1/3.

A. $9.5238 B. $0.0952 C. $0 D. $3.1746

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