Question

The exchange rate is ¥95/=C, the yen-denominated interest rate is 1.5%, the eurodenominated interest rate is 3.5%, and the exchange rate volatility is 10%.
a. What is the price of a 90-strike yen-denominated euro put with 6 months to expiration?
b. What is the price of a 1/90-strike euro-denominated yen call with 6 months to expiration?
c. What is the link between your answer to (a) and your answer to (b), converted to yen?


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  • CreatedAugust 12, 2015
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