20. You are asked to price a quanto option on the DAX index. The DAX is currently trading...

20. You are asked to price a quanto option on the DAX index. The DAX is currently trading at a value of 5000. Price a one-year maturity ATM option on one unit of the DAX given that the current exchange rate is The volatility of the DAX is 50%, and that of the exchange rate is 20%. The correlation between the DAX return and exchange rate is +0.25. The US risk-free rate is 1%, and the euro interest rate is 2%. Dividends on the DAX are 1%.