Question: 8. The current USDJPY exchange rate is 110 JPY per USD, the volatility of the exchange rate is 15%, and the USD and JPY risk-free

8. The current USDJPY exchange rate is 110 JPY per USD, the volatility of the exchange rate is 15%, and the USD and JPY risk-free interest rates are 2.5% and 0.5% per annum, respectively. (a) Calculate the value of a 9-month European put option on USDJPY with a strike price of 100. (b) A company enters into a range forward contract by buying the put in (a) and selling a 9-month European call option on USDJPY. Determine the strike price of the call option

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