Question: Problem Set I Unless otherwise stated, for Problems 1, 2, 3 and 4 o EURUSD spot = 1.2500 0 Expiry for each option = 1

Problem Set I Unless otherwise stated, for Problems 1, 2, 3 and 4 o EURUSD spot = 1.2500 0 Expiry for each option = 1 year 0 Notional = EUR 100 million 0 All rates are \"risk free\"| Problem 3 Trade 3(a): Vanilla put spread Leg 1: Buy vanilla put: strike = 1.3000 Leg 2: Sell vanilla put: strike = 1.2500 Trade 3(b): Digital put, USD Notional Strike = 1.3000 Trade 3(c): Digital put, EUR Notional Strike = 1.3000 (A) For Trade 3(a), Notional for each Leg = EUR 100 million Calculate the maximum Payout, in USD, for Trade 3(a) (B) For Trade 3(b), Notional = USD 100,000 All else unchanged, change the strike for Leg 2 in Trade 3(a) to K a. If [spot at expiry

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