You are given: (i) The current exchange rate is 0.011$/. (ii) A four-year dollar-denominated European put option
Question:
You are given:
(i) The current exchange rate is 0.011$/¥.
(ii) A four-year dollar-denominated European put option on yen with a strike price of $0.008 sells for $0.0005.
(iii) The continuously compounded risk-free interest rate on dollars is 3%.
(iv) The continuously compounded risk-free interest rate on yen is 1.5%.
Calculate the price of a four-year yen-denominated European put option on dollars with a strike price of ¥125.
(A) 35
(B) 37
(C) 39
(D) 41
(E) 43
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