Question
Consider an option expiring in 90 days on 180-day LIBOR. The option buyer chooses an exercise rate of 5.5% and a notional principal of $10
Consider an option expiring in 90 days on 180-day LIBOR. The option buyer chooses an exercise rate of 5.5% and a notional principal of $10 million. On the expiration day, 180- day LIBOR is 6%.
Is this option in-the-money or out-of-the-money?
What is the payoff to the holder of the option
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
20th Edition
1609303164, 978-1609303167
