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Winston Cigars, a U. S- based firm, distributes cigars in the UK and expects receivables of GBP 100,000 in three months. GBP puts with three

Winston Cigars, a U. S- based firm, distributes cigars in the UK and expects receivables of GBP 100,000 in three months. GBP puts with three months maturity and a strike price of USD 1.60 are available with a premium of USD 0.04. Disregard financing costs for the option premium.

You are requested to consider the following (equally likely) values of GBP in three months: 1.50, 1.55, 1.60, 1.65. Estimate the mean and standard deviation of the amount to be received assuming a hedge with options is used. (use $x,xxx and $x,xxx)

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