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Suppose the current exchange rate is $ 1.77 divided by pound ?, the interest rate in the United States is 5.09 % ?, the interest rate in the United Kingdom is 3.78 % ?, and the volatility of the? $/£ exchange rate is 9.2 % . Use the? Black-Scholes formula to determine the price of a? six-month European call option on the British pound with a strike price of $ 1.77 / # .

The corresponding forward exchange rate is ?$ ?/pound. ?(Round to four decimal? places.)

Using the? Black-Scholes formula d1 is ?, while Upper N1 is . ?(Round to four decimal? places.)

Using the? Black-Scholes formula d2 is ?, while Upper N2 is . ?(Round to four decimal? places.)

The price of the call is ?$ ?/pound. ?(Round to four decimal? places.)

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92839271

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