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You are interested in a variety of 6-month options on the Euro (); the spot rate is now $1.120. The US short-term interest rate is
You are interested in a variety of 6-month options on the Euro (); the spot rate is now $1.120. The US short-term interest rate is 0.00%. You run many (risk-neutral) simulations on possible (dollar) values of the over the next 6 months. One simulation result is below. "Final" is the simulated spot value of the in 6 months; "Mean/maximum/minimum" are taken across simulated spot values over the next 6 months. Simulation # Final Mean Maximum Minimum 11 1.140 1.126 1.178 1.101 12 1.140 1.126 1.17 1.095 13 1.120 1.127 1.16 1.100 14 1.102 1.138 1.171 1.085 15 1.107 1.144 1.172 1.083 Based only on simulations 11-15, what is the current value of a ($1) cash-or-nothing call with strike 1.13? You are interested in a variety of 6-month options on the Euro (); the spot rate is now $1.120. The US short-term interest rate is 0.00%. You run many (risk-neutral) simulations on possible (dollar) values of the over the next 6 months. One simulation result is below. "Final" is the simulated spot value of the in 6 months; "Mean/maximum/minimum" are taken across simulated spot values over the next 6 months. Simulation # Final Mean Maximum Minimum 11 1.140 1.126 1.178 1.101 12 1.140 1.126 1.17 1.095 13 1.120 1.127 1.16 1.100 14 1.102 1.138 1.171 1.085 15 1.107 1.144 1.172 1.083 Based only on simulations 11-15, what is the current value of a ($1) cash-or-nothing call with strike 1.13
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