Suppose the exchange rate is $0.61/A$, the Australian dollar-denominated continuously compounded interest rate is 2%, the...

Suppose the exchange rate is $0.61/A$, the Australian dollar-denominated continuously compounded interest rate is 2%, the U.S. dollar-denominated continuously compounded interest rate is 6%, and the exchange rate volatility is 19%. What is the Black-Scholes value of a 3-month $0.60-strike European call on the Australian dollar?

$.0315 = Answer

Please show all the work THanks

Expert Solution

jeff jeffy answered 1 year ago

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