Exercise 12.2.3 Show that Eq. (11.6) can be simplified to C = Fer N(x) Xer N(x

Exercise 12.2.3 Show that Eq. (11.6) can be simplified to C = Fe−rτ N(x)− Xe−rτ N(x −σ

√

τ ), P = Xe−rτ N(−x +σ

√

τ )− Fe−rτ N(−x)

without the explicit appearance of the exchange rate, where x ≡ ln(F/X)+(σ2/2) τ

σ

√

τ

.

Note that S, F, and X above are in domestic/foreign terms.