You wish to acquire a eurodollar interest rate option for $6 million in March and want to

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You wish to acquire a eurodollar interest rate option for $6 million in March and want to lock in a deposit interest rate of 7½ percent. You look in the options market quotations under Mar and find the following information:

What will be the cost of using the options market to hedge the interest rate risk?

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International Economics

ISBN: 9780078021671

8th Edition

Authors: Dennis Appleyard, Alfred Field

Question Posted: Dec 02, 2015 04:29 AM

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You wish to acquire a eurodollar interest rate option for $6 million in March and want to

Question:

Strike Price 9200 9225 9250 9275 Calls -Settle 0.50 0.41 0.54 0.26 Puts Settle 0.05 0.30 0.15 0.18 Eli

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In this case you would purchase a call at the strike price of 9250 ...View the full answer

International Economics

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