Question
Suppose that the $ for $ spot exchange rate is 2:1, the 90day forward exchange rate is F = 2:156, the 180day forward exchange rate
Suppose that the $ for $ spot exchange rate is 2:1, the 90day forward exchange rate is F = 2:156, the 180day forward exchange rate is F = 2:118
(a) What are the arbitrage opportunities when a 180day European call option to purchase $1 for K = $2:07 costs C = $0:02?
(b) What are the arbitrage oppportunities when a 90day European put option to sell $1 for K = $2:2 costs P = $:02?
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International Financial Management
Authors: Cheol S. Eun, Bruce G.Resnick
6th Edition
71316973, 978-0071316972, 78034655, 978-0078034657
