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suppose that the exchange rate is 1 dollar for 120 Yen. The dollar interest rate is 5%(continuously compounded) and the yen rate is 1%(continuously compounded).

suppose that the exchange rate is 1 dollar for 120 Yen. The dollar interest rate is 5%(continuously compounded) and the yen rate is 1%(continuously compounded). Consider an at the money American dollar call that is yen-denominated. The option has 1 year to expiration and the exchange rate volatility is 10%. Let n=3.

What is the value of American call?

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