3. You observe in the Table below the following prices for EUR/JPY call options. (a) Fill...

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3. You observe in the Table below the following prices for EUR/JPY call options. (a) Fill in the missing values assuming all of the options' strike prices are at-the- money [note: these values represent the cost of a call on 100 yen]. Implied Volatility 5% 7.5% 10% Implied Volatility 5% 3-Month Call 7.5% €1.0100 €2.0200 6-Month Call 3-Month Call €1.4284 €2.8567 (b) Using the same Table, specify for each of the nine cells whether that option has a delta below 50%, equal to 50%, or above 50%. 1-Year Call 6-Month Call €2.0200 €4.0400 1-Year Call 3. You observe in the Table below the following prices for EUR/JPY call options. (a) Fill in the missing values assuming all of the options' strike prices are at-the- money [note: these values represent the cost of a call on 100 yen]. Implied Volatility 5% 7.5% 10% Implied Volatility 5% 3-Month Call 7.5% €1.0100 €2.0200 6-Month Call 3-Month Call €1.4284 €2.8567 (b) Using the same Table, specify for each of the nine cells whether that option has a delta below 50%, equal to 50%, or above 50%. 1-Year Call 6-Month Call €2.0200 €4.0400 1-Year Call

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Interpolation formula For a value between two known values A and B with a percentage p betwe... View the full answer