Find the value of a call option written on €100 with a strike price of $1.00 = €1.00. In one period there are two possibilities: the exchange rate will move up by 15% or down by 15% . The U.S. risk-free rate is 5% over the period. The risk-neutral probability of dollar depreciation is ²/₃ and the risk-neutral probability of the dollar strengthening is ¹/₃. A)$9.5238 B)$0.0952 C)$0 D)$3.1746

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The Answer of Find the value of a call option written on €100 with a strike price of $1.00 = €1.00. In one period there are two possibilities: the exchange rate will move up by 15% or down by 15% . The U.S. risk-free rate is 5% over the period. The risk-neutral probability of dollar depreciation is ²/₃ and the risk-neutral probability of the dollar strengthening is ¹/₃. A)$9.5238 B)$0.0952 C)$0 D)$3.1746

Find the Value of a Call Option Written on €100