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Suppose that the spot price of one Canadian dollar is U.S. $0.70 and the Canadian dollar /U.S. dollar exchange rate has a volatility of 20%

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Suppose that the spot price of one Canadian dollar is U.S. $0.70 and the Canadian dollar /U.S. dollar exchange rate has a volatility of 20% per annum. The risk free rates (continuously compounded) in Canada and the United States are 6% pa. and 4% pa. respectively. Calculate the value of a nine-month European put option with an exercise price of U.S. $0.75 using the Garman-Kohlhagen model (GKM model)

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