Find the Black-Scholes price of a six-month call option written on 10,000 with a strike price...
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Find the Black-Scholes price of a six-month call option written on €10,000 with a strike price of $1.08 €1.00. The current exchange rate is $1.12 €1.00; The U.S. risk-free rate is 2% over the period and the euro-zone risk-free rate is 5%. The volatility (o) of the underlying asset is 15 percent. Compute the call option premium. Show all your work. Find the Black-Scholes price of a six-month call option written on €10,000 with a strike price of $1.08 €1.00. The current exchange rate is $1.12 €1.00; The U.S. risk-free rate is 2% over the period and the euro-zone risk-free rate is 5%. The volatility (o) of the underlying asset is 15 percent. Compute the call option premium. Show all your work.
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