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You are given: (i) The current exchange rate is 123.19 yens for each euro. (ii) A 2-year yen-denominated European put option on euro with a
You are given:
(i) The current exchange rate is 123.19 yens for each euro.
(ii) A 2-year yen-denominated European put option on euro with a strike price of 122 sells for 16.97.
(iii) The continuously compounded risk-free interest rate on euro is 3%.
(iv) The continuously compounded risk-free interest rate on yen is 2%%.
Calculate the price of a 2-year yen-denominated European call option on euro with a strike price of 122.
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