Question

Suppose the current exchange rate is $1.80/£, the interest rate in the United States is 5.25%, the interest rate in the United Kingdom is 4%, and the volatility of the $/£ exchange rate is 10%. Use the Black-Scholes formula to determine the price of a six-month European call option on the British pound with a strike price of $1.80/£.



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  • CreatedAugust 06, 2014
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