Question
A European option to buy 25,000,000 Yen in 2 years for $200,000 costs $35,000. If the current exchange rate is 110Yen/$, r$ = 0.07, and
A European option to buy 25,000,000 Yen in 2 years for $200,000 costs $35,000. If the current exchange rate is 110Yen/$, r$ = 0.07, and rY = 0.05, then what would a yen-denominated call option on $5000 with strike rate 125Yen/$ expiring in two years cost?
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The Handbook Of Municipal Bonds
Authors: Frank J. Fabozzi, Sylvan G. Feldstein
1st Edition
0470108754, 9780470108758
