Using the market data in Exhibit 7.6, show the net terminal value of a long position in
Question:
Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 108.5 Sep Japanese yen European call contract at the following terminal spot prices, cents per yen: 106, 108, 108.5, 110, and 112. Ignore any time value of money effect.
Exhibit 7.6
Transcribed Image Text:
NASDAQ OMX PHLX Options Calls Puts Euro 122.38 10,000 Euro-cents per unit. 121.5 2.30 1.33 Jun 122 1.52 Jun Jun 2.00 122.5 1.74 1.75 123 Jun 1.50 2.01 121.5 122 Sep Sep Sep Sep 3.63 3.88 4.71 4.41 3.60 122.5 123 3.53 3.33 3.78 Japanese Yen 1,000,000 J.Yen-100ths of a cent per unit. 107.5 108.54 Jun 1.84 .76 108 Jun Jun 1.55 .98 108.5 1.22 1.51 1.29 109 Jun 1.08 109.5 107.5 Jun .89 1.82 Sep Sep Sep Sep Sep 3.75 2.52 108 3.51 3.28 2.77 108.5 3.03 3.30 109 3.07 109.5 2.87 3.63
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Related Book For
International Financial Management
ISBN: 978-0078034657
6th Edition
Authors: Cheol S. Eun, Bruce G.Resnick
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