Suppose the exchange rate is 0.95 $/=C, the euro-denominated continuously compounded interest rate is 4%, the dollar-denominated continuously compounded interest rate is 6%, and the price of a 1-year 0.93-strike European call on the euro is $0.0571. What is the price of a 0.93-strike European put?
Answer to relevant QuestionsThe premium of a 100-strike yen-denominated put on the euro is ¥8.763. The current exchange rate is 95 ¥/=C. What is the strike of the corresponding euro-denominated yen call, and what is its premium? Let S = $100, K = $105, r = 8%, T = 0.5, and δ = 0. Let u = 1.3, d = 0.8, and n = a. What are the premium, ∆ and B for a European call? b. What are the premium, ∆ and B for a European put? Suppose that the exchange rate is $0.92/=C. Let r$ = 4%, and r=C = 3%, u = 1.2, d = 0.9, T = 0.75, n = 3, and K = $0.85. a. What is the price of a 9-month European call? b. What is the price of a 9-month American call? Suppose that u < e(r−δ)h. Show that there is an arbitrage opportunity. Now suppose that d >e(r−δ)h. Show again that there is an arbitrage opportunity. Many (but not all) of these questions can be answered with the ...Let S = $100, σ = 30%, r = 0.08, t = 1, and δ = 0. Suppose the true expected return on the stock is 15%. Set n = 10. Compute European put prices, ∆ and B for strikes of $70, $80, $90, $100, $110, $120, and $130. For each ...
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