Question: The current USD vs. CNY spot rate is S(CNY/USD) = 6.5. In six months, the spot rate can take one of two values: 6.25 or

The current USD vs. CNY spot rate is S(CNY/USD) = 6.5.

The current USD vs. CNY spot rate is S(CNY/USD) = 6.5. In six months, the spot rate can take one of two values: 6.25 or 6.95. Six month interest rates are 1.5%pa in the United States and 3.65%pa in China. To the nearest thousand CNY, what is the no-arbitrage CNY price of a six month put on USD 1,000,000 vs. the CNY with strike price equal to 6.75, ignoring any possible transaction costs? 267,000 33,000 None of the other answers. 215,000 41,000

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