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You are given: (i) The current exchange rate is 100 yens for each US dollar. (ii) A 3-month yen-denominated at-the-money European call option on US

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You are given: (i) The current exchange rate is 100 yens for each US dollar. (ii) A 3-month yen-denominated at-the-money European call option on US dollar sells for \4.85. (iii) The continuously compounded risk-free interest rate on US dollar is 3.5%. (iv) The continuously compounded risk-free interest rate on yen is 1%. Calculate the price of a 3-month yen-denominated at-the-money European put option on US dollar. (6 points)

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