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The interest rates in EU and the United States with continuous compounding are 0% and 1.75% per annum, respectively. The spot price of one

The interest rates in EU and the United States with continuous compounding are 0% and 1.75% per annum, respectively. The spot price of one Euro is $1.105. The exchange rate volatility is 8%. Using the Black-Scholes formula, calculate the price of a 1-year US denominated 109.5-strike European call on 100 Euro.

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