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Suppose the exchange rate is $0.98/C$, the Canadian dollar-denominated continuously compounded interest rate is 4%, the U.S. dollar-denominated continuously compounded interest rate is 2%, and

Suppose the exchange rate is $0.98/C$, the Canadian dollar-denominated continuously compounded interest rate is 4%, the U.S. dollar-denominated continuously compounded interest rate is 2%, and the exchange rate volatility is 14%. What is the Black-Scholes value of a 6-month $1.00-strike European put on the Canadian dollar?

a. $0.0200

b. $0.0497

c. $0.0256

d.$0.0350

e. $0.0550

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