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One euro is currently trading for $1.25. The dollar-denominated continuously compounded interest rate is 6% and the euro-denominated continuously compounded interest rate is 5%. Volatility

One euro is currently trading for $1.25. The dollar-denominated continuously compounded interest rate is 6% and the euro-denominated continuously compounded interest rate is 5%. Volatility relevant for the Black-Scholes equation is 25%. Find the Black-Scholes price of a 6-month dollar-denominated euro call with strike price of $1.3/e.

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