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Solve this asap In the 1980s, Bankers Trust developed index currency option notes (ICONs). These are bonds in which the amount received by the holder
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In the 1980s, Bankers Trust developed index currency option notes (ICONs). These are bonds in which the amount received by the holder at maturity varies with a foreign exchange rate. One example was its trade with the Long Term Credit Bank of Japan. The ICON specified that if the yen-U.S. dollar exchange rate, St, is greater than 169 yen per dollar at maturity (in 1995), the holder of the bond receives $1,000. If it is less than 169 yen per dollar, the amount received by the holder of the bond is 1,000 - max When the exchange rate is below 84.5, nothing is received by the holder at maturity. Show that this ICON is is a combination of a regular bond and two optionsStep by Step Solution
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