Suppose the spot exchange rate is $1 43 per British pound and the strike on a dollar denominated pound call is $1 30 Assume r 0 045, rf 0 06, 0 15 and the option expires in 180 days What is the Black Scholes call option price (a) $0 133 (b) $0 143 (c) $0 153 (d) $0 163 ...

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Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated

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Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, rf = 0.06, σ = 0.15 and the option expires in 180 days. What is the Black-Scholes call option price?

(a) $0.133

(b) $0.143

(d) $0.163

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International financial management

ISBN: 978-0324593471

9th Edition

Authors: Jeff Madura

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Posted Date: Oct 14, 2020 01:32 AM

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Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated

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International financial management

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