Consider a one-year call option that gives the holder the right but not the obligation to buy £30,000 currently trading at $1.50/£ for $1.80/£. In the next period, the pound can increase to $2.40/£ or decrease to $0.96/£. The risk free rate is 2.01% in dollars and 1.0% in pounds.

Calculate the value today of this option in dollars within $10 of the correct answer.

Answer rating: 100% (QA)

To calculate the value today of the oneyear call option you can use the BlackScholes model or a simi... View the full answer