Use the European Option Pricing Formula to Find the Value

question 63

Multiple Choice

Use the European option pricing formula to find the value of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r_$ = 5.5% and r_¥ = 6%.

• A)0.005395
• B)0.005982
• C)$0.006137/¥
• D)None of the above

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