Question
Q 1821: Let the current spot rate be 1.21 Sf/$. Let the exercise price be 1.20 $/. Let the volatility of the swiss franc be
Q 1821: Let the current spot rate be 1.21 Sf/$. Let the exercise price be 1.20 $/. Let the volatility of the swiss franc be 0.26. The time to expiration is 3 months. The US rate is 2% and the swiss rate is 4%. 18. What is the delta of the call? 19. What is the value of the call? 20. What is its time value? 21. What is the value of the corresponding put?
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The Laymans Guide To Managing Your Investments
Authors: Thomas Dunleavy
1st Edition
979-8763592214
