Assume the spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950 What...
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Assume the spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950 What is the value of a six-month call and a put option with a strike price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 35 percent. Assume the annualized volatility of the Swiss franc is 14.2 percent. Use the European option pricing models to value the call and put option. This problem can be solved using the FXOPM.xls spreadsheet. (Do not round intermediate calculations. Round your answers to 2 decimal places.) Answer is complete but not entirely correct. Value Option Call Put 3.51 cents 1.44 conto
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