Question
Do the problem with the below question, only this time assuming an American put option instead of a call option. Assume the spot Swiss franc
Do the problem with the below question, only this time assuming an American put option instead of a call option.
Assume the spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.5 percent.
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The Ultra High Net Worth Bankers Handbook
Authors: Heinrich Weber, Stephan Meier
1st Edition
1905641753, 978-1905641758
