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 4 Each option below has the same Strike Calculate (A), (B), (C) and (D) (A) Price of digital put + Price of digital call (B) Price of EKO put + Price of EKI put Price of vanilla put (C) Price of K0 put + Price of KI put Price of vanilla put For (D), assume we live in the Black Scholes world, and spot = forward (D) Price of one-touch/ Price of digital put

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