Question
Go to eurexchange.com (click on products, FX Derivatives, Currency Pairs, EUR/USD) and find the nearest EUR/USD options expiring 6-months from today (drop down menu). Pick
Go to eurexchange.com (click on products, FX Derivatives, Currency Pairs, EUR/USD) and find the nearest EUR/USD options expiring 6-months from today (drop down menu). Pick any strike price and find the latest ECB and Fed Benchmark interest rates at trading economics (.com). Find the the volatility on exchange rate on www.cboe.com/products/vix-index-volatility/volatility-on-currencies, the symbol is EUVIX. Find the latest $/EUR exchange rate on the internet. Enter all the information below in the green box and calculate the price of the call option. What is the actual price of the option on the Eurex exchange? Is it close to the computed answer? If you change the volatility in the model do you get a closer price?
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Fundamentals of Financial Accounting
Authors: Fred Phillips, Robert Libby, Patricia Libby, Brandy Mackintosh
4th Canadian edition
978-1259269868, 978-1259103292
