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Suppose That the Current Australian Dollar/US Dollar Exchange Rate Is

Question 6

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Suppose that the current Australian dollar/US dollar exchange rate is 1.08. The risk-free rates of interest in Australia and the US are 2.75% and 1.24% per annum continuously compounded) respectively. A European put option to sell one US dollar for AUD1.08 in six months costs $4.20. What is the price of a six-month call option to buy AUD1.08 with one US dollar? _ _ _ _ _ _ _

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