You are given: The spot exchange rate is 137 Japanese yens for 1 British pound and the strike price on a European yen-de

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You Are Given The Spot Exchange Rate Is 137 Japanese Yens For 1 British Pound And The Strike Price On A European Yen De 1 (37.88 KiB) Viewed 83 times

You are given: The spot exchange rate is 137 Japanese yens for 1 British pound and the strike price on a European yen-denominated call option to buy one British pound is 140 yens. Assume the continuous rate of interest on British pound is 4% and the continuous rate of interest on yen is 2.5%. The option expires in one month, and o = 20%. Using a one-period binomial model, find the yen-denominated price of the European call option.