= Homework: Bonus 10Percent Question 84, Problem 7-12 (algorithmic) HW Score: 67.4%, 93.01 of 138 points O Points: 0 of 1 Save U.S. Dollar/Euro. The table, indicates that a 1-year call option on euros at a strike rate of S1.2501/t will cost the buyer $0.0528/, or 4.19%. But that assumed a volatility of 10.500% when the spot rate was $1.2615/e. What would the same call option cost if the volatility was reduced to 10.500% when the spot rale fell to $1.2484 / E? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2434/ would be s be. (Round to four decirrial places.) (Click the icon to copy table into a spreadsheet.) Pricing Currency Options on the Euro A U.S.-based firm wishing to buy A European firm wishing to buy or sell euros (the foreign currency) or sell dollars (the foreign currency) Variable Value Variable Value SO $ 1.2615 SO 0.7927 FO $ 1.2523 FO 0.7986 x $ 1.2501 0.7999 ge x d fr rd 1.453 % rd 2.189 Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) % rf 2.189 % 1.453 % T 1.000 T 1.000 365.00 365.00 s 10.500 % s 10.500 % d1 0.0692 d1 0.0370 d2 -0.0358 d2 -0.0680 0.5276 N(D1) 0.5148 N(D1) N(02) 0.4857 N(02) 0.4729 du Variable Value Variable Value SO $ 1.2615 SO 0.7927 FO $ 1.2523 FO 0.7986 $ 1.2501 0.7999 rd 1.453 % rd 2.189 % Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) rf 2.189 % rf 1.453 % T 1.000 T 1.000 365.00 365.00 S 10.500 % s 10.500 % d1 0.0692 d1 0.0370 d2 -0.0358 d2 -0.0680 0.5276 N(1) 0.5148 N(01) N(02) 0.4857 N(02) 0.4729 $ 0.0528 0.0321 Call option premium (per unit fc) Put option premium (per unit fc) (European pricing) $ 0.0506 p 0.0334 4.19 % 4.05 % Call option premium (%) Put option premium (%) p 4.01 % 4.21 % Print Done = Homework: Bonus 10Percent Question 84, Problem 7-12 (algorithmic) HW Score: 67.4%, 93.01 of 138 points O Points: 0 of 1 Save U.S. Dollar/Euro. The table, indicates that a 1-year call option on euros at a strike rate of S1.2501/t will cost the buyer $0.0528/, or 4.19%. But that assumed a volatility of 10.500% when the spot rate was $1.2615/e. What would the same call option cost if the volatility was reduced to 10.500% when the spot rale fell to $1.2484 / E? The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2434/ would be s be. (Round to four decirrial places.) (Click the icon to copy table into a spreadsheet.) Pricing Currency Options on the Euro A U.S.-based firm wishing to buy A European firm wishing to buy or sell euros (the foreign currency) or sell dollars (the foreign currency) Variable Value Variable Value SO $ 1.2615 SO 0.7927 FO $ 1.2523 FO 0.7986 x $ 1.2501 0.7999 ge x d fr rd 1.453 % rd 2.189 Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) % rf 2.189 % 1.453 % T 1.000 T 1.000 365.00 365.00 s 10.500 % s 10.500 % d1 0.0692 d1 0.0370 d2 -0.0358 d2 -0.0680 0.5276 N(D1) 0.5148 N(D1) N(02) 0.4857 N(02) 0.4729 du Variable Value Variable Value SO $ 1.2615 SO 0.7927 FO $ 1.2523 FO 0.7986 $ 1.2501 0.7999 rd 1.453 % rd 2.189 % Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) rf 2.189 % rf 1.453 % T 1.000 T 1.000 365.00 365.00 S 10.500 % s 10.500 % d1 0.0692 d1 0.0370 d2 -0.0358 d2 -0.0680 0.5276 N(1) 0.5148 N(01) N(02) 0.4857 N(02) 0.4729 $ 0.0528 0.0321 Call option premium (per unit fc) Put option premium (per unit fc) (European pricing) $ 0.0506 p 0.0334 4.19 % 4.05 % Call option premium (%) Put option premium (%) p 4.01 % 4.21 % Print Done