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post all the steps Suppose the exchange rate is $1.39/, the British pound-denominated continuously compounded interest rate is 7%, the U.S. dollar-denominated continuously compounded interest
post all the steps
Suppose the exchange rate is $1.39/, the British pound-denominated continuously compounded interest rate is 7%, the U.S. dollar-denominated continuously compounded interest rate is 3%, and the exchange rate volatility is 25%. What is the Black-Scholes value of a 1-year $1.30-strike European put on the British pound?
| a. | $0.0699 | |
| b. | $0.1452 | |
| c. | $0.2007 | |
| d. | $0.0000 | |
| e. | $0.1107 |
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