Money european call option on currency with strike price

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Consider a 6 months at the money European call option on a currency with strike price of 1.45. the current exchange rate is 1.40 with the %18 of the volatility. The domestic risk free rate is %6 per annum, and the foreign risk free interest is %12 per annum. Calculate the value of the option.

Reference no: EM131357587

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