2-A-B AMERIcorp. will PAY 10,000,000 Euros (E) in 288 days ( = 80 yr) to a European supplier. AMERcorp is concerned about exchange rate risk on the future US$ cost to meet this payable Spot rate today is $1.15 / E ANNUAL deposit (investing) rate is: Europe = 3.0% : USA = 6.0% ANNUAL borrowing rate is: Europe = 4.2%; USA = 8.0% 2-A) $ 18pts MONEY MARKET hedge amount for AMERicorp 2-B-1-to-4 Continuation of AMERIcorp problem from top of page for option hedge problem below CALL option is available with 288 -days to maturity, with Strike price of $1.15 /E with a premium of $.022 /E PUT option is available with 288-days to maturity with Strike price of $1.15 / E with a premium of $.024/E AmeriCorp forecasted the +288-day future expected Spot Rate as follows: $1.135/E 15% prob. $1.145/E 30% prob. $1.155/E 40% prob. $1.165/E 15% prob ( 4pts each row) Option Hedge