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Q 25 Suppose he exchange rate is $0.95/Fr, the Swiss franc-denominated continuously compounded interest rate is 6%, the U.S. dollar-denominated continuously compounded interest rate is
Q 25 Suppose he exchange rate is $0.95/Fr, the Swiss franc-denominated continuously compounded interest rate is 6%, the U.S. dollar-denominated continuously compounded interest rate is 5% and the exchange rate volatility is 24%. What is the Black-Scholes value of a 1-year $1.00-strike European call on the Swiss franc? (The value of d1 is 0.13539) a.$0.0627
b.$0.1193 c $O.0459 d.$0.1127 e.$0.0000
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