The table , indicates that a 1-year call option on euros at a strike rate of $1.2503/ will cost the buyer $0.0484/, or 3.86%. But that assumed a volatility of 10.500% when the spot rate was $1.2533/. What would the same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2482/?

The same call option cost if the volatility was reduced to 10.500% when the spot rate fell to $1.2482/ would be $_______ /.

- Data table A Japanese firm wishing to buy or sell ouros (the foreign currency) A European firm wishing to buy or sell yon (the foreign currency) Variable Variable rd rd % % Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Volatility (%p.a.) Value 2.1870 0.0875 10.000 Value 0.0875 2.1870 10.000 f rf % % % S S % d1 d1 d2 -0.36429 -0.42162 0.35782 0.33665 -0.21722 -0.27456 0.41402 0.39183 N(1) N(d2) d2 N(1) Nd2) Print Done all Data table (Click the icon to copy table into a spreadsheet.) Pricing Currency Options on the Euro AU.S.-based firm wishing to buy or sell euros (the foreign currency) A European firm wishing to buy or sell dollars (the foreign currency) Variable Value Value Variable SO SO $ 1.2533 FO $ 1.2441 FO 0.7979 0.8038 0.7998 2.186 $ 1.2503 X rd 1.453 rd % Spot rate (domestic/foreign) Forward rate (domestic/foreign) Strike rate (domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) rf 2.186 % t 1.453 % T 1.000 365.00 10.500 % 1.000 365.00 10.500 % S 5 d1 0.0052 0.1000 d2 -0.0998 -0.0050 d1 d2 N(D1) Nd2) 0.5021 N(01) Nd2) 0.5398 0.4603 0.4980 Print Done Dinintas A1 Data table Variable Variable SO SO FO FO X Value 0.7979 0.8038 0.7998 2.186 % 1.453 % rd Spot rate domestic foreign) Forward rate domestic/foreign) Strike rate domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (%p.a.) Time (years, 365 days) Days equivalent Volatility (%p.a.) Value $ 1.2533 $ 1.2441 $ 1.2503 1.453 % 2.186 % 1.000 365.00 10.500 rd rf rt T - 1.000 365.00 10.500 s % % d1 d1 d2 d2 0.0052 -0.0998 0.5021 0.4603 0.1000 -0.0050 0.5398 0.4980 N(01) N(D2) N(1) N(D2) C Call option premium (per unit fc) Put option premium (per unit fc) (European pricing) $ 0.0484 $ 0.0546 0.0348 0.0309 3,86 c 4.36 Call option premium (%) Put option premium (%) P 4.36 P 3.87 Print Done an example Get more help Clear