- Assume The Spot Swiss Franc Is 0 7045 And The Six Month Forward Rate Is 0 7040 What Is The Value Of A Six Month Call 1 (19.56 KiB) Viewed 97 times
rate is $0.7040. What is the Value of a six-month call and a put
option with a strike price of $0.6845 should sell for in a rational
market? Assume the annualized six-month Eurodollar rate is 3.50
percent. Assume the annualized volatility of the Swiss franc is
14.20 percent. Use the European option-pricing models to value the
call and put option. This problem can be solved using the FXOPM.xls
spreadsheet. (Do not round intermediate calculations. Round your
answers to 2 decimal places.)
Assume the spot Swiss franc is $0.7045 and the six-month forward rate is $0.7040. What is the value of a six-month call and a put option with a strike price of $0.6845 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the European option-pricing models to value the call and put option. This problem can be solved using the FXOPM.xls spreadsheet. (Do not round intermediate calculations. Round your answers to 2 decimal places.) Value Option Call Put cents cents