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Consider the following Spot rate ($US/) Strike rate ($US/E) US interest rate (% p.a.) UK interest rate (% p.a.) Volatility (% p.a.) Expiration, Days
Consider the following Spot rate ($US/) Strike rate ($US/E) US interest rate (% p.a.) UK interest rate (% p.a.) Volatility (% p.a.) Expiration, Days SO E rd rf sigma $1.9674 $1.9000 2.453% 3.525% 6.300% 90.00 Compute forward rate, d1, N(d1), d2, N(d2), $ call premium, $ put premium
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To compute the forward rate d1 Nd1 d2 Nd2 call premium and put premium we need to use the BlackSchol...
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International Financial Management
Authors: Geert Bekaert, Robert J. Hodrick
2nd edition
013299755X, 132162768, 9780132997553, 978-0132162760
