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Calculate the terminal payoff for a 6-month maturity call option on NZD with strike price of NZD 0.75 for 1 AUD. The table below shows
Calculate the terminal payoff for a 6-month maturity call option on NZD with strike price of NZD 0.75 for 1 AUD.
The table below shows the premiums for several currency options (all the options are maturing in 6 months): Option strike price NZD 0.75 for 1 AUD NZD 1.25 NZD 0.77 Option strike price NZD 0.80 for 1 AUD NZD 0.85 NZD 1.2 Call on AUD Put on AUD The current and 6-month spot currency rates are given below. AUD/ NZD NZD) AUD Current Spot Rate 1 NZD = 1.50 AUD 1 AUD = 0.67 NZD 6-month Spot rate 1 NZD = 1.75 AUD 1 AUD = 0.57 NZDStep by Step Solution
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