Question 26 2 pts Today is March 15. You consider an exchange option, to trade "$100 times the level of the S&P index on December 15," for "400,000 Canadian dollars on December 15. Currently, the S&P index level is 3000.00, a Canadian dollar is worth $.7500 (that is, .75 US dollars), and the annualized volatility between the S&P index and the Canadian dollar is 10%. In this problem, December 15 is exactly 11 months away. Short-term Canadian interest rates are 2.40% (continuously compounded), short-term US interest rates are 1.20% (continuously compounded), and the dividend yield on the S&P index is 1.80% (continuously compounded). You plan to use Black-Scholes to find the current (US dollar) value of this exchange option. With that in mind: What is the total volatility over the life of the option? (Give this answer in percentage terms, and to four digits. For example, if your answer is "12.34%", enter "12.34"). 1,234 Question 26 2 pts Today is March 15. You consider an exchange option, to trade "$100 times the level of the S&P index on December 15," for "400,000 Canadian dollars on December 15. Currently, the S&P index level is 3000.00, a Canadian dollar is worth $.7500 (that is, .75 US dollars), and the annualized volatility between the S&P index and the Canadian dollar is 10%. In this problem, December 15 is exactly 11 months away. Short-term Canadian interest rates are 2.40% (continuously compounded), short-term US interest rates are 1.20% (continuously compounded), and the dividend yield on the S&P index is 1.80% (continuously compounded). You plan to use Black-Scholes to find the current (US dollar) value of this exchange option. With that in mind: What is the total volatility over the life of the option? (Give this answer in percentage terms, and to four digits. For example, if your answer is "12.34%", enter "12.34"). 1,234