Find price of a european vanilla put option

Reference no: EM132051116

Question: What is the price of a 1-year European vanilla put option on GBP with strike price 1.58? The current exchange rate is 1.56 USD per GBP. The risk-free interest rates for USD and GBP are 2% and 3% per year respectively with continuous compounding. The volatility of GBP is 20%.

Reference no: EM132051116

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