U.S. Dollar-Euro. The table,, indicates that a 1-year call option on euros at a strike rate...

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U.S. Dollar-Euro. The table,, indicates that a 1-year call option on euros at a strike rate of $1.2505 = 1.00 will cost the buyer $0.0539 per , or 4.26%. But that assumed a volatility of 10.500% when the spot rate was $1.2642 = 1.00. What would that same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2483 = 1.00? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2483 = 1.00 would be $ Data table Pricing Currency Options on the Euro A U.S.-based firm wishing to buy A European firm wishing to buy or sell euros (the foreign currency) Variable Value or sell dollars (the foreign currency) Variable Value Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) So $ 1.2642 So 0.7910 FO $ 1.2550 FO 0.7968 X $ 1.2505 0.7997 Domestic interest rate (% p.a.) rd 1.454 % rd 2.185 % Foreign interest rate (% p.a.) rf 2.185 % rf 1.454 % Time (years, 365 days) T 1.000 T 1.000 Days equivalent 365.00 365.00 Volatility (% p.a.) S 10.500 % 10.500 % d1 0.0867 d1 0.0179 d2 -0.0183 d2 -0.0871 N(d1) 0.5345 N(d1) 0.5071 N(d2) 0.4927 N(d2) 0.4653 Call option premium (per unit fc) C $ 0.0539 C 0.0313 Put option premium (per unit fc) (European pricing) $ 0.0495 0.0341 Call option premium (%) C 4.26 xample Get more help Put option premium (%) P 3.92 de do % 3.96 % P 4.31 % do do x U.S. Dollar-Euro. The table,, indicates that a 1-year call option on euros at a strike rate of $1.2505 = 1.00 will cost the buyer $0.0539 per , or 4.26%. But that assumed a volatility of 10.500% when the spot rate was $1.2642 = 1.00. What would that same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2483 = 1.00? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2483 = 1.00 would be $ Data table Pricing Currency Options on the Euro A U.S.-based firm wishing to buy A European firm wishing to buy or sell euros (the foreign currency) Variable Value or sell dollars (the foreign currency) Variable Value Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) So $ 1.2642 So 0.7910 FO $ 1.2550 FO 0.7968 X $ 1.2505 0.7997 Domestic interest rate (% p.a.) rd 1.454 % rd 2.185 % Foreign interest rate (% p.a.) rf 2.185 % rf 1.454 % Time (years, 365 days) T 1.000 T 1.000 Days equivalent 365.00 365.00 Volatility (% p.a.) S 10.500 % 10.500 % d1 0.0867 d1 0.0179 d2 -0.0183 d2 -0.0871 N(d1) 0.5345 N(d1) 0.5071 N(d2) 0.4927 N(d2) 0.4653 Call option premium (per unit fc) C $ 0.0539 C 0.0313 Put option premium (per unit fc) (European pricing) $ 0.0495 0.0341 Call option premium (%) C 4.26 xample Get more help Put option premium (%) P 3.92 de do % 3.96 % P 4.31 % do do x