Question
Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045,
Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, rf = 0.06, σ = 0.15 and the option expires in 180 days. What is the Black-Scholes call option price?
(a) $0.133
(b) $0.143
(c) $0.153
(d) $0.163
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International financial management
Authors: Jeff Madura
9th Edition
978-0324593495, 324568207, 324568193, 032459349X, 9780324568202, 9780324568196, 978-0324593471
