USA will receive 10,000,000 Pounds (P) in 288 days ( = .80 yr) from a British customer. USA wants to hedge exchange rate risk on the future US$ value when converting P to US$. Spot rate today is $1.37 / P

ANNUAL deposit (investing) rate is: U.K. = 2.75% ; USA = 6.25%

ANNUAL borrowing rate is: U.K. = 4.25% ; USA = 8.4%

CALL option is available with 288-days to maturity, with Strike price of $1.37 / P with a premium of $.028 /P

PUT option is available with 288-days to maturity with Strike price of $1.37 / P with a premium of $.024 / P

USA forecasted the +288-day future expected Spot Rate as follows:

$1.355 / P 15% prob. $1.365 / P 30% prob.

$1.375 / P 40% prob. $1.385 / P 15% prob

Possible Spot +288	Option Premium per Pound	At $1.37/P Spot Exercise Option Yes? or No?	Net Price/ Pound (Include Option Premium)	1-B Option hedge Total All-in Net $ Amount at possible future Spots	Number
$1.355/P					1-B-1
$1.365/ P					1-B-2
$1.375/ P					1-B-3
$1.385/ P					1-B-4