Using the market data in Exhibit 7.6, show the net terminal value of a long position in

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Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 108.5 Sep Japanese yen European call contract at the following terminal spot prices, cents per yen: 106, 108, 108.5, 110, and 112. Ignore any time value of money effect.

Exhibit 7.6

NASDAQ OMX PHLX Options Calls Puts Euro 122.38 10,000 Euro-cents per unit. 121.5 2.30 1.33 Jun 122 1.52 Jun Jun 2.00 122

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International Financial Management

ISBN: 978-0078034657

6th Edition

Authors: Cheol S. Eun, Bruce G.Resnick

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