Question
Viner Co., an Australian company, has developed the following probability distribution for the spot rate of the Chinese yuan (CNY) against the Australian dollar (A$)
Viner Co., an Australian company, has developed the following probability distribution for the spot rate of the Chinese yuan (CNY) against the Australian dollar (A$) in six months to buy put options on CNY1.17 million with an exercise price of A$0.3289 and a premium of A$0.0354.
A$0.2379 [38 per cent probability]
A$0.4459 [28 per cent probability]
A$0.5202 [(100-38-28) per cent probability]
What is the expected value of the cash to be received in A$ from the put option hedge?
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Finance
Authors: Angelico Groppelli, Ehsan Nikbakht
2nd Edition
0812043731, 978-0812043730
