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You are given: (i) The current exchange rate is 120 yens for each euro. (ii) A 6-month yen-denominated at-the-money European call option on euro sells

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You are given: (i) The current exchange rate is 120 yens for each euro. (ii) A 6-month yen-denominated at-the-money European call option on euro sells for 4.75. (iii) The continuously compounded risk-free interest rate on euro is 2%. (iv) The continuously compounded risk-free interest rate on yen is 1%. Calculate the price of a 6-month yen-denominated at-the-money European put option on euro. (6 points) You are given: (i) The current exchange rate is 120 yens for each euro. (ii) A 6-month yen-denominated at-the-money European call option on euro sells for 4.75. (iii) The continuously compounded risk-free interest rate on euro is 2%. (iv) The continuously compounded risk-free interest rate on yen is 1%. Calculate the price of a 6-month yen-denominated at-the-money European put option on euro. (6 points)

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