What is the minimum net revenue the firm will receive if it uses options contracts?...
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What is the minimum net revenue the firm will receive if it uses options contracts?
It's early March 2022 and the Commonwealth Serum Laboratories (CSL) has just started exporting COVID vaccines from its facilities in Melbourne to Europe. This has resulted in an accounts receivable of 5 million due in late June. Its treasury department which is tasked with hedging the resultant exposure due to this transaction, gets the following information from Bloomberg. Spot rate: 158.34 cents per Euro (EUR). . EUR 90-day interest rate: 0.40% p.a. . AUD 90-day interest rate: 0.20% p.a. Forward rate (90 day): 158.05 cents per EUR. Exercise Price 158 cents/EUR 159 cents/EUR 160 cents/EUR Call Price (cents/EUR) 5.00 4.52 4.08 Put Price (cents/EUR) 4.81 5.33 5.89
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