assume the spot exchange rate for euros is 1.0949 (that is $1.0949 will purchase €1). If...

assume the spot exchange rate for euros is 1.0949 (that is $1.0949 will purchase €1). If the risk free interest rate for US dollars is 1.451%, the risk free interest rate for euro area is -0.250% and the standard deviation of changes in the exchange rate is 0.1126.

6a. What is the price of a 3-month put option on euros with a strike price of 1.1965?

b. What is the price of a 3-month put option on euros with a strike price of 1.0985?

Expert Solution

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6a.

6b.

jeff jeffy answered 2 years ago

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