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The exchange rate is U95/Euro, the yen-denominated interest rate is 1.5%, the euro-denominated interest rate is 3.5%, and the exchange rate volatility is 10%. a.
The exchange rate is U95/Euro, the yen-denominated interest rate is 1.5%, the euro-denominated interest rate is 3.5%, and the exchange rate volatility is 10%.
a. what is the price of a 90-strike yen-denominated euro put with 6 months to expiration? b. what is the price of a 1/90-strike euro-denominated yen call with 6 months to expiration?
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