Page 1 of 1
3 Assume the spot Swiss franc is $0.7055 and the six-month forward rate is $0.7060. What is the value of a six-month cal
Posted: Tue Jan 18, 2022 12:59 pm
by answerhappygod
- 3 Assume The Spot Swiss Franc Is 0 7055 And The Six Month Forward Rate Is 0 7060 What Is The Value Of A Six Month Cal 1 (18.23 KiB) Viewed 55 times
3 Assume the spot Swiss franc is $0.7055 and the six-month forward rate is $0.7060. What is the value of a six-month call option with a strike price of $0,6855 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 binomial option-pricing model to value the call option. (Do not round intermediate calculations. Round your answer to 2 decimal places. Enter your answer in cents per Swiss Franc.) Value of call option cents per SF