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Suppose that one euro can be purchased for U . S . $ 0 . 9 3 . Suppose also that the risk - free

Suppose that one euro can be purchased for U.S. $0.93. Suppose also that the risk-free
interest rate in the European Union is 5% and in United States it is 6%, and that the volatility
of the exchange rate is 11% per year. Find the dollar value of a six-month European call
option on the euro with strike price $0.93.

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