phillyoung37 phillyoung37

24-03-2024
Mathematics

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Questions 12-13 are based on the following information: Assume the spot Swiss franc is 86.4 cents and the six-month forward rate is 85.5 cents. Suppose there is a six-month European call option with a striking price of 79.5 cents. Assume the annualized volatility of the Swiss franc is 18.8%, and the annualized six-month Eurodollar rate is 4.5%. Use the European option-pricing models developed in the chapter to value the call option. Do the valuation again assuming a put option. This problem can be solved using the FXOPM.xls spreadsheet (posted in this lesson). The option premium of the call option is .30 cents per Swiss Franc, and the option premium of the put option is 2.95 cents per Swiss Franc. Please use quotes in cents with two decimal places when you calculate the option premium. Use 365 days for a year

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