Question: The price of a 6 month dollar denominated call option on the

The price of a 6-month dollar-denominated call option on the euro with a $0.90 strike is $0.0404. The price of an otherwise equivalent put option is $0.0141. The annual continuously compounded dollar interest rate is 5%.
a. What is the 6-month dollar-euro forward price?
b. If the euro-denominated annual continuously compounded interest rate is 3.5%, what is the spot exchange rate?

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  • CreatedAugust 12, 2015
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