A Russian importer of coffee owes BRL 93,000,000 (BRL = Brazilian Real) in one year and is planning to use a perfect option market hedge. The strike price is X(RUB/BRL)=13.48618 (RUB = Russian Rouble) for both calls and puts, and the current spot rate is S0(RUB/BRL)=13.68551. The spot rate next year is expected to be either SUP(RUB/BRL)=14.58215 or SDOWN(RUB/BRL)=11.44034. The interest rate in Brazil is iB=8%, while the interest rate in Russia is iR=5.57%. What is the value of the importer’s payable in t=1 if she executes a perfect option market hedge?

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