Question: The exchange rate is 95/=C, the yen-denominated interest rate is 1.5%, the eurodenominated interest rate is 3.5%, and the exchange rate volatility is 10%. a.

The is ¥95/=C, the yen-denominated interest rate is 1.5%, the eurodenominated interest rate is 3.5%, and the volatility is 10%.
a. What is the price of a 90-strike yen-denominated euro put with 6 months to expiration?
b. What is the price of a 1/90-strike euro-denominated yen call with 6 months to expiration?
c. What is the link between your answer to (a) and your answer to (b), converted to yen?

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a P 95 90 01 0015 05 0035 10483 b C 195 190 01 0035 05 00... View full answer

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