A European At-The-Money Put Option on a Currency Has Four

question 8

Multiple Choice

A European at-the-money put option on a currency has four years until maturity.The exchange rate volatility is 10%,the domestic risk-free rate is 2% and the foreign risk-free rate is 5%.The current exchange rate is 1.2000.What is the value of the option?

• A) 1.11N(0.7)-0.98N(0.5)
• B) 1.11N(-0.7)-0.98N(-0.5)
• C) 1.11N(0.7)-0.98N(0.4)
• D) 1.11N(-0.06)-0.98N(-0.10)

---

Definitions:

Reuse

The practice of using existing resources or components in new ways or in new contexts to save time, reduce costs, or leverage functionality.

Unwanted Messages

Messages that the recipient does not wish to receive, often considered spam.

RSS Feed

A web feed that allows users and applications to access updates to websites in a standardized, computer-readable format.

Rules Wizard

A feature in software applications that guides users through the creation of rules or conditional statements to automate tasks.