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Suppose the exchange rate is $ 1 . 1 1 / . Let r$ = 5 % , r = 8 % , u =

Suppose the exchange rate is $

1.11 / .

Let r$

= 5 %,

= 8 %,

= 1.3,

= 0.7,

and T

= 1.5 .

Using a

2 -

step binomial tree, calculate the value of a $

1.00 -

strike European call option on the euro.

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