Consider five-month European call and put options on British pounds with an exercise price of $1.1700....
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Consider five-month European call and put options on British pounds with an exercise price of $1.1700. The current price of the put option is $0.0416. The current spot price of British pounds is $1.1706. The riskless interest rate is 4% in the U.S. and 5% in the U.K. (both of these rates are annualized and continu- ously compounded). Given the price of the put option, what should be the current price of the call option? (Please report your answer to four decimal places.) Consider five-month European call and put options on British pounds with an exercise price of $1.1700. The current price of the put option is $0.0416. The current spot price of British pounds is $1.1706. The riskless interest rate is 4% in the U.S. and 5% in the U.K. (both of these rates are annualized and continu- ously compounded). Given the price of the put option, what should be the current price of the call option? (Please report your answer to four decimal places.)
Expert Answer:
Answer rating: 100% (QA)
To find the current price of the European call option we can use the putcall parity relationship whi... View the full answer
Related Book For
Practical Management Science
ISBN: 978-1305250901
5th edition
Authors: Wayne L. Winston, Christian Albright
Posted Date:
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