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Find the hedge ratio for a call option on 10,000 with a strike price of 15,000. The current exchange rate is 1.50/1.00 and in the
Find the hedge ratio for a call option on 10,000 with a strike price of 15,000. The current exchange rate is 1.50/1.00 and in the next period the exchange rate can increase to 2.40/ or decrease to 0.9375/1.00 (i.e. u = 1.6 and d = 1/u = 0.625). The current interest rates are i = 3% and are i = 4%.Choose the answer closest to yours. Select one: a. 5/9 b. 8/13 c. 2/3 d. 3/8 e. none of the options
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