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Use the Black-Scholes pricing formulae to value a six-month call and put options on the Swiss franc with a striking price of $0.6800. Assume spot

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Use the Black-Scholes pricing formulae to value a six-month call and put options on the Swiss franc with a striking price of $0.6800. Assume spot is $0.7000 and the six-month forward rate is $0.6950. Assume the annualized six-month Eurodollar rate is 3 1/2 percent. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet

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