Question
Suppose the dollar-denominated interest rate is 4% and the Eurodenominated interest rate is 2%, and the spot exchange rate is $0.9/Euro. The price of a
Suppose the dollar-denominated interest rate is 4% and the Eurodenominated interest rate is 2%, and the spot exchange rate is $0.9/Euro. The price of a Euro-denominated European call option to buy one dollar with the strike price 1/0.95 euros with 1 year to expiration is 0.328 euros. What is the price of a dollar-denominated European call to buy one Euro with 1-year to expiration and a strike price $0.95?
I know the answer is supposed to be C, please explain how I get that.
(a) $0.11 (b) $0.25 (c) $0.37 (d) $0.48
2) The spot price of god is $400/oz. The 1-year, 2-year, and 3-year god forward prices are $410/oz, $434/oz, and $455/oz, respectively. Interest rates are r(0, 1) = 5.5%, r(0, 2) = 6.0%, r(0, 3) = 6.2%. What is the annual coupon of the 3-year gold-linked note that sells at par? This note pays the cash coupon at the end of each year. (Use the continuous compounding.)
I know the answer is supposed to be C, please show me how to get that on my own
(a) $5.41 (b) $6.73 (c) $7.43 (d) $8.56
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