Question: For all problems on this exam, assume an eective monthly interest rate of 1% unless otherwise indicated in the problem. 5. Consider a dollar-denominated call

For all problems on this exam, assume an eective monthly interest rate of 1% unless otherwise indicated in the problem.

5. Consider a dollar-denominated call option with strike K =$60 and T = 1 month on the stock of Toyota Motors as it trades on the Tokyo Stock Exchange. The current stock price is 6140 yen. The current exchange rate is 113 yen for $1, and the forward exchange rate is 110 yen for $1. Assume the stock pays no dividends within the next month. If the current US dollar put price is 527 yen, nd the call price.

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