Question
Suppose that the spot price of one New Zealand dollar (NZD) is currently U.S. $0.58 and that the NZD to U.S. dollar (USD) exchange rate
Suppose that the spot price of one New Zealand dollar (NZD) is currently U.S. $0.58 and that the NZD to U.S. dollar (USD) exchange rate has a volatility of 25% per annum. The continuously compounded risk-free interest rate in New Zealand is 4% p.a. and that in the United States is 3% p.a. Calculate the value of a six-month European put option written on NZD with an exercise price of U.S. $0.60 using the GarmanKohlhagen model (GKM model).
Suppose that the spot price of one New Zealand dollar (NZD) is currently U.S. $0.58 and that the NZD to U.S. dollar (USD) exchange rate has a volatility of 25% per annum. The continuously compounded risk-free interest rate in New Zealand is 4% p.a. and that in the United States is 3% p.a. Calculate the value of a six-month European put option written on NZD with an exercise price of U.S. $0.60 using the GarmanKohlhagen model (GKM model).
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Globalization Gating And Risk Finance
Authors: Unurjargal Nyambuu, Charles S. Tapiero
1st Edition
1119252652, 978-1119252658
