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)

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Definitions:

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A medical condition characterized by difficulty swallowing, which can lead to poor nutrition and other complications.

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The measurement of the size, shape, and composition of the human body, used in nutritional assessment and to evaluate physical growth.

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A comprehensive analysis of an individual’s nutritional status using medical history, dietary history, physical examination, and laboratory data.