Question
Consider a six-month call option on Japanese yen. The current exchange rate is $1 = 95. The strike price is $1 = 100. The volatility
Consider a six-month call option on Japanese yen. The current exchange rate is $1 = 95. The strike price is $1 = 100. The volatility is 25 percent per annum; r$ = 5.5% and r = 6%. What is value of d1 using the Black-Scholes model?
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Equity Valuation Risk And Investment A Practitioners Roadmap
Authors: Peter C. Stimes
1st Edition
0470226404, 9780470226407
