The Nikkei Index Is 22,550,K = 21,000,σ = 0

question 1

Multiple Choice

The Nikkei index is 22,550,K = 21,000,σ = 0.19,rf = 0.04,S = 0.10,r = 0.08 and ?div = 0.01.The yen to dollar spot rate is 104 and the correlation coefficient is 0.30.What would be the dollar price of a 2-year equity-linked foreign exchange call?

• A) $45.02
• B) $35.02
• C) $25.01
• D) $15.02

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Definitions:

Nagele's Rule

A standard way of calculating the due date for a pregnancy based on the woman's last menstrual period.

Menstrual Period

The phase in a woman's menstrual cycle in which the uterine lining is shed, leading to bleeding through the vagina.

Expected Date

A specified day projected for an event to occur, often used in the context of deliveries or due dates.

Delivery

The process of transporting goods from one place to another or the act of giving birth.