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What is the price of a one-month euro call option

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Let the current spot rate be $2/€, and assume that one month from now the spot rate will be either $1/€ or $3/€. Let the dollar interest rate be 1% per month, and let the euro interest rate be 2% per month. What is the price of a one-month euro call option that allows us to buy 100 euros a strike price of $2/€?

Reference no: EM132908439

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