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Suppose the exchange rate is $0.61/A$, the Australian dollar-denominated continuously compounded interest rate is 2%, the U.S. dollar-denominated continuously compounded interest rate is 6%, and
Suppose the exchange rate is $0.61/A$, the Australian dollar-denominated continuously compounded interest rate is 2%, the U.S. dollar-denominated continuously compounded interest rate is 6%, and the exchange rate volatility is 19%. What is the Black-Scholes value of a 3-month $0.60-strike European call on the Australian dollar?
$.0315 = Answer
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