Find the black-scholes price of an at-the-money

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Reference no: EM131822484

One euro is currently trading for $1.25. The dollar-denominated continuously compounded interest rate is 8% and the euro-denominated continuously compounded interest rate is 5%. Volatility relevant for the Black-Scholes equation is 10%. Find the Black-Scholes price of an at-the-money 1-year euro-denominated dollar put.

Reference no: EM131822484

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