Algebra and Trigonometry (6th Edition)
Algebra and Trigonometry (6th Edition)
6th Edition
ISBN: 9780134463216
Author: Robert F. Blitzer
Publisher: PEARSON
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Given the following information: Spot rate = 1.7000 $/£
90-day forward rate = 1.7000 $/£ Strike price = 1.7000
$/£ US$ interest rate = 8% p.a. UK interest rate = 8%
p.a. Time until maturity = 90 days Volatility = 10.00%
What is the value of a European put in $/£?
O .0478
0.0377
O.0415
O.0333
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Transcribed Image Text:Given the following information: Spot rate = 1.7000 $/£ 90-day forward rate = 1.7000 $/£ Strike price = 1.7000 $/£ US$ interest rate = 8% p.a. UK interest rate = 8% p.a. Time until maturity = 90 days Volatility = 10.00% What is the value of a European put in $/£? O .0478 0.0377 O.0415 O.0333
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