Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 90 Sep Japanese yen European call contract at the following terminal spot prices (stated in U.S. cents per 100 yen): 81, 85, 90, 95, and 99. Ignore any time value of money effect

Solution: The net terminal value of one call contract is: [Max[ST E, 0] Ce] x JPY1,000,000/100 100, where JPY1,000,000 is the contract size of one JPY contract. At 81: [Max[81 90, 0] 2.60] x JPY1,000,000/100 100 = -$260 At 85: [Max[85 90, 0] 2.60] x JPY1,000,000/100 100 = -$260 At 90: [Max[90 90, 0] 2.60] x JPY1,000,000/100 100 = -$260 At 95: [Max[95 90, 0] 2.60] x JPY1,000,000/100 100 = $240 At 99: [Max [99 90, 0] 2.60] x JPY1,000,000/100 100 = $640 where is the 2.6 European call option calculated?