What is the black-scholes price of the corresponding put

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Reference no: EM131545163

FX is 1.40 $/€. A foreign currency call on the euro has an exercise price of 1.38 $/€ and has a time to expiration of 60 days. The US 1-year LIBOR rate is 4% and the euro 1-year LIBOR is 5%. The volatility of the euro is 0.08.

What is the Black-Scholes price of the corresponding put?

Reference no: EM131545163

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