We need at least 10 more requests to produce the answer.
0 / 10 have requested this problem solution
The more requests, the faster the answer.
Assuming the CNY/USD exchange rate is 7.0 today. CNY Interest Rate is 5% USD Interest Rate...
1. The current EUR/CAD exchange rate is 1.10. The current European interest rate (c.c.) is -0.4%(!), and the current USD interest rate (c.c.) is 0.8%. The volatility of the EUR/USD exchange rate is something like 15%. a) What is the 3-month forward EUR/USD exchange rate? b)Which currency is (expected to be) getting stronger c) If you thought the forward EUR/USD exchange rate was too high, would you prefer a 3-month call on 10000 Euros or a 3-month put on 10000...
Suppose the current exchange rate is $ 1.77 divided by pound $1.77/£, the interest rate in the United States is 5.41 % 5.41%, the interest rate in the United Kingdom is 4.12 % 4.12%, and the volatility of the $/£ exchange rate is 10.3 % 10.3%. Use the Black-Scholes formula to determine the price of a six-month European call option on the British pound with a strike price of $ 1.77 divided by pound $1.77/£. The corresponding forward exchange rate...
An exchange rate is currently AUD 1 = USD 0.66. It is expected to move up to AUD 1 = USD 0.72 or down to AUD 1 = USD 0.62 in the next nine months. The risk-free interest rates (continuously compounded) are: AUD or Australian Dollars 5.0% p.a. USD or United States Dollars 10.20% p.a. Required What is the value of a nine-month American put option with a strike price of AUD 1 = USD 0.68 (i.e., the put option holder...
Currently the spot exchange rate is $1.558 per pound (USD/GBP). The interest rate in the UK is 6%. The one-year forward exchange rate is $1.5200/GBP. If interest rate parity holds, what must be the US interest rate for the same period?
. Given the following information: Spot rate €.6/$, 6 month forward rate €.61/$, interest rates p.a. in the US (Germany) are 4% (6%) respectively, a call option with a strike price of €.59/$ with a 2% premium, a put option with a strike price €.605/$ with a premium of 2.5%. How could you hedge a €200 million receivable? What is the breakeven exchange rate between the option alternative you choose and the forward market hedge?
Suppose the annual interest rate is 2 percent in the US and 4 percent in Germany, the spot exchange rate is USD 1.60 / EUR, and the 1year forward rate is USD 1.58 / EUR. What is the arbitrage profit in USD at the end of the year if you start by borrowing USD 5,000,000?
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000 1020 84.470 101.214 1050 1107 137.167 I 1) Suppose you invest in the S&P stock index for $1000, buy a 950-strike put, and sell a 1050- strike call. Draw a profit diagram for this position. What is the net option premium? 2) Here is a quote from an investment website about an investment strategy using options: One strategy investors apply is a "synthetic stock."...
4. (4 points) The currency exchange rate for GBP is $1.25 per pound. The risk free interest rates for USD and GBP are 1% and 1.5% per year, respectively, with continuous compounding. The volatility of GBP exchange rate is o= 15%. Compute the price of a 6-month at-the-money European put option in a 3-step CRR binomial model. Compare the binomial price with the Black-Scholes price.
HOME ASSIGNMENT
PROBLEM №1
What is a forward price of an index JKL given the following
information?
Date of pricing: November 15, 2019
Time till expiration: four months / Contract expires on March
15, 2020
Current value of an index: 2 803
Continuously compounded interest rate: 4.5 %
Continuously compounded dividend yield: 2.3%
PROBLEM №2
What is the value of the forward contract (specified in
problem №1) on January 15, 2020 if:
Forward price of contract with the same underlying...