Question: The answer is NOT 0.03 or 0.032. plz help Assume the spot Swiss franc is $0.7080 and the six-month forward rate is $07110. What is
The answer is NOT 0.03 or 0.032. plz help
Assume the spot Swiss franc is $0.7080 and the six-month forward rate is $07110. What is the value of a six-month call option with a strike price of 506880 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent Assume the annualized volatility of the Swiss franc is 14 20 percent Use the binomial option pricing model to value the call option (Do not round intermediate calculations. Round your answer to 2 decimal places. Enter your answer in cents per Swiss Franc.) Value of call option 0.03 cents per SF
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