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2 Assume the spot Swiss franc is $0.7095 and the six- month forward rate is $0.7140. What is the value of a six-month ca
Posted: Tue Jan 18, 2022 12:59 pm
by answerhappygod
- 2 Assume The Spot Swiss Franc Is 0 7095 And The Six Month Forward Rate Is 0 7140 What Is The Value Of A Six Month Ca 1 (19.09 KiB) Viewed 109 times
2 Assume the spot Swiss franc is $0.7095 and the six- month forward rate is $0.7140. What is the value of a six-month call and a put option with a strike price of $0.6895 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 cents Put cents