U.S. Dollar/British Pound. Assuming the same initial values for the dollar/pound cross-rate in the FX Option Pricing

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U.S. Dollar/British Pound. Assuming the same initial values for the dollar/pound cross-rate in the FX Option Pricing workbook, how much more would a call option on pounds be if the maturity was doubled from 90 to 180 days? What percentage increase is this for twice the length of maturity?

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Multinational Business Finance

ISBN: 9781292270081

15th Global Edition

Authors: David Eiteman, Arthur Stonehill, Michael Moffett

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