Question
A one-year dollar denominated (European) call option at the money on the Euro with a strike price of 1.1$/e is traded at $0.02. The price
A one-year dollar denominated (European) call option at the money on the Euro with a strike price of 1.1$/e is traded at $0.02. The price of an (European) put option with the same strike and maturity is $0.03. The continuously compounded US dollar LIBOR is 4% per year. What's the Euro interest rate according to the no-arbitrage condition?
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Corporate Finance Reader
Authors: Robert W. Kolb
2nd Edition
1878975536, 978-1878975539
