Consider the following where call options are traded on Canadian Dollars. One U.S. Dollar is currently...

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Consider the following where call options are traded on Canadian Dollars. One U.S. Dollar is currently worth 0.81 Canadian Dollar. We wish to evaluate a 12-months Canadian call and put on Canadian $ with exercise prices equal to 0.5567. The U.S. and Canadian interest rates are both 10%. The underlying exchange rates volatility is 0.40. The foreign riskless rate is 10%. Calculate the following using The Garman and Köhlagen Options Pricing Model: a. b. C. d. e. f. What is the first probability factor (d₁)? What is the second probability factor (d₂)? What is the normal distribution of d₁ (N(d₁))? What is the normal distribution of d₂ (N(d₂))? What is the call value (Co)? What is the call price (P)? Consider the following where call options are traded on Canadian Dollars. One U.S. Dollar is currently worth 0.81 Canadian Dollar. We wish to evaluate a 12-months Canadian call and put on Canadian $ with exercise prices equal to 0.5567. The U.S. and Canadian interest rates are both 10%. The underlying exchange rates volatility is 0.40. The foreign riskless rate is 10%. Calculate the following using The Garman and Köhlagen Options Pricing Model: a. b. C. d. e. f. What is the first probability factor (d₁)? What is the second probability factor (d₂)? What is the normal distribution of d₁ (N(d₁))? What is the normal distribution of d₂ (N(d₂))? What is the call value (Co)? What is the call price (P)?

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Here are the stepbystep calculations for each part a Calculate the first probability factor d1 G... View the full answer