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The exchange rate is 95/, the yen-denominated interest rate is 1.5%, the euro-denominated interest rate is 3.5%, and the exchange rate volatility is 10%. Based
The exchange rate is 95/, the yen-denominated interest rate is 1.5%, the euro-denominated interest rate is 3.5%, and the exchange rate volatility is 10%. Based on the Black-Scholes option pricing model, what is d1 when computing the price of a 90-strike yen-denominated euro call with 6 months to expiration?
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