You are given: (i) The current dollar-euro exchange rate is $1.25/. (ii) The price of a 3-year

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You are given:

(i) The current dollar-euro exchange rate is $1.25/€.

(ii) The price of a 3-year dollar-denominated European call option on euros with a strike price of $1.20 is $0.06545.

(iii) The price of a 3-year dollar-denominated European call option on euros with a strike price of $1.50 is $0.05842.

(iv) The price of a 3-year euro-denominated European call option on dollars with a strike price of €0.6667 is €0.1641.

(v) The price of a 3-year euro-denominated European call option on dollars with a strike price of €0.8333 is €0.03315.

Calculate the continuously compounded risk-free interest rate on dollars.

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Dec 02, 2023 03:23 AM

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You are given: (i) The current dollar-euro exchange rate is $1.25/. (ii) The price of a 3-year

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Derivative Pricing

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