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 percent or down by 15 percent .The U.S.risk-free rate is 5 percent 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 percent or down by 15 percent .The U.S.risk-free rate is 5 percent 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