1-A-B AMERICorp. will receive 10,000,000 Pounds (P) in 252 days ( = 70 yr) from a British customer. AMERIcorp wants to hedge exchange rate risk on the future US$ value when converting P to USS Spot rate today is $1.34/P ANNUAL deposit (investing) rate is: U.K. = 2.4%; USA = 6.4% ANNUAL borrowing rate is: U.K. - 4.0% ; USA = 8.4% 1-A) 18pts MONEY MARKET hedge amount for AMERicorp 1-B-1-to-4 Continuation of AMERIcorp problem from top of page for option hedge problem below CALL option is available with 252-days to maturity, with Strike price of $1.34/P with a premium of $.026/P PUT option is available with 252-days to maturity with Strike price of $1.34 / P with a premium of $.021/P AmeriCorp forecasted the +252-day future expected Spot Rate as follows: $1.325/P 15% prob. $1.335 /P 30% prob. $1.345/P 40% prob. $1.355/P 15% prob. (4 pts ea, row) Option Hedge