For European Currency Options Written on Euro with a Strike

question 91

Multiple Choice

For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S($/€) ?

• A)Decrease the value of calls and puts ceteris paribus
• B)Increase the value of calls and puts ceteris paribus
• C)Decrease the value of calls, increase the value of puts ceteris paribus
• D)Increase the value of calls, decrease the value of puts ceteris paribus

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