A call option on Canadian dollar has a strike (exercise) price of $0.75 per CAD. The present CAD exchange rate is $0.77 per CAD. This CAD call option has an intrinsic value of: A) Positive $0.02 per CAD. B) Zero intrinsic value. C) Negative $0.02 per CAD. D) Positive $0.75 per CAD.
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A call option on Canadian dollar has a strike (exercise) price of $0.75 per CAD. The present CAD exchange rate is $0.77 per CAD. This CAD call option has an intrinsic value of:
A) Positive $0.02 per CAD.
B) Zero intrinsic value.
C) Negative $0.02 per CAD.
D) Positive $0.75 per CAD.
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- Assume that the Japanese yen is trading at a spot price of 68.13 cents per 100 yen. Further assume that the premium of an American call (put) option with a strike price of 70 is 0.77 (1.57) cents per 100 yen. Calculate the intrinsic value and the time value of the call and put options.Assume that the Japanese yen is trading at a spot price of 92.04 cents per 100 yen. Further assume that the premium of an American call (put) option with a strike price of 93 is 2.10 (2.20) cents. Calculate the intrinsic value and the time value of the call and put options.Assume that the dollar-euro spot rate is $1.28 and the six-month forward rate is FT= S,ers - re)' $ $1.28e 01 x .S = $ 1 2864. The six-month U.S. dollar rate is 5 percent and the Eurodollar rate is 4 percent. The minimum price that a six-month American call option with a striking price pf $1.25 should sell for in a rational market is... (Note: If you are unable to view the image, you can download it here: ferwardRate.png) 0 cents. O3.47 cents. O3.55 centS. 3 cents. 8:37 PM .25°C Mostly sunny FRA 2021-08-17
- Suppose that the exchange rate is $0.92/Euro. The dollar-denominatedinterest rate is 4% and the euro-denominated interest rate is 3%.u = 1.2, d = 0.9, T = 0.75, n = 3, and K = $1.00.a. What is the price of a 9-month European put?b. What is the price of a 9-month American put?On the basis of the following information, calculate the price of a call option on the Australian dollar: Spot exchange rate (USD/AUD) 0.75 Exercise exchange rate (USD/AUD) 0.70 Interest rate on the US dollar (per cent per annum 8 Interest rate on the Australian dollar (per cent per annum) 10 Time to expiry 90 Standard deviation (per cent) 10 Note:- Do not provide handwritten solution. Maintain accuracy and quality in your answer. Take care of plagiarism. Answer completely. You will get up vote for sure.Suppose the exchange rate is $1.71/€. Let r$ = 2%, r€ = 7%, u = 1.16, d = 0.78, and T = 2. Using a 2-step binomial tree, calculate the value of a $1.70-strike American call option on the euro. a.$0.1253 b. $0.1220 c. $0.1118 d. $0.1196 e. $0.1172
- Consider the following information for an exchange rate: • Current spot rate is USD 1.70 for 1 GBP • Risk-free US rate of interest is 6% p.a. compounded continuously. • Risk-free UK rate of interest is 8% p.a. compounded continuously. • Volatility (o) of the currency returns is 20% p.a. • Maturity of the option is 9 months. • Strike rate of the option is USD 1.50 for 1 GBP • The currency options are European in nature •N How much does it cost to hold (i.e., buy) a call-USD option? Use the Garman Kohlhagen model.Consider a one period binomial model of a currency option on the dollar. Thecurrent (date t = 0) spot exchange rate is S0 = 75 pence per dollar. The spot rateat the end of the period will be either Su = 100 pence or Sd = 60 pence. The UKrisk-free interest rate over the period is rs = 1/3 (33.3333%) and the US risk-freerate of interest is rd = 1/4 (25%). There is a call option with a strike price ofK = 68 pence and a forward contract with a price of F = 80 pence. Show how touse the forward contract and the UK money market to replicate the payoffs to thecall option and hence, find the price of the call option.Suppose you have a 1,200,000 US dollar payable coming due in June and that the spottoday is .98 US/CDN. You get a strike of .98 US and you are dealing with the PHLX. Suppose you are deciding whether or not to hedge out the foreign exchange risk. The size of the Canadian dollar contract on the PHLX is 50,000 Canadian dollars percontract. The option price is listed as 1.00 for the June put on Canadian dollars and .90 on the June call. Suppose you expect the US/CDN to be .97 on the last day of the option (the expiry date). This also happens to be the day you need to cover your payable. How much does it cost you to set up the hedge with brokerage cost set to zero? (In CANADIAN dollars approximately.) A. 12,755 B. 12,887 C. 12,000 D. 12,500
- Assume that the Japanese yen is trading at a spot price of 92.04 cents per 100 yen. Further assume that the premium of an American call (put) option with a striking price of 93 is 2.10 (2.20) cents. Calculate the intrinsic value and the time value of the call and put options. (A Negative value should be indicated with a minus sign. Do not round intermediate calculations. Enter your answers in cents per 100 yen. Round your answers to 2 decimal places.)You have sold a put option on British pound and receive $0.03 per pound. The exercise price is $0.75 per British pound and at expiration the exchange rate was 1.5 British pound per dollar. Compute the net profit if the size of contract is 31,250. a. Net loss $1,666.67 b. Net profit $1,666.67 c. Net profit $0 d. Net loss $3,541.67Suppose the spot exchange rate is $1.22 per British pound and the strike on a dollar denominated pound put is $1.20. Assume r = 0.04, rf = 0.05, σ = 0.20 and the option expires in 270 days. What is the put option price?