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.
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- 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.
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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 option with a striking price of 93 is 2.10 cents. What are the intrinsic value and the time value of the call option per 100 yen, respectively? O 0; 2.10 O 0.96; 1.14 O 2.10:0 1.14: 0.96Assume 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.)
- Suppose you took a long position on a put option with an exercise price of $1.95 per pound and paid a premium $0.20 per pound. Required: a. If the spot exchange rate turns out to be $2.10 per pound on the maturity date, is the put option in-, at-, or out-of-the-money? b. If the spot exchange rate turns out to be $2.10 per pound on the maturity date, will you exercise this option? c. If the spot rate at maturity turns out to be $1.90 per pound, is the contract in-, at-, or out-of-the-money? d. If the spot rate at maturity turns out to be $1.90 per pound, will you exercise this option? The option is Will you exercise this option? Spot Rate $2.10 Spot Rate $1.90You write a call option with a strike of $1.473/£ and a premium of $0.72. The current spot exchange rate is $1.434/£. What is the option's intrinsic value?2. These options are traded in the market: call option with an Exercise (Strike) Price of 1.15 $/€ and premium (option cost) of 0.03 $ per euro. (a) If the Spot exchange rate is 1.17 $/ €, is the option ITM, ATM or OTM? (b) Calculate Intrinsec value and Time value of the option. (c) If put options are traded with same Exercise Price at same cost of 0.03 $ per euro and Fwd for the same maturity is traded at 1.17 $/ €, how can an astute tradem arbitrage? Explain. (d) Calculate Intrinsec value and Time value of the put option mentioned above.
- Suppose the exchange rate of euro at current spot market is $1.25/€. If a put option has a strike price of $1.18/€ then we can say this option is a) inthemoney b) outofthemoney c) atthemoney d) past breakevenAssume that the price of a forward contract is 127.87. The European options on the forward contract has an exercise price $150, expiring in 60 days. 3.75% is the continuously compounded risk-free rate, and volatility is 0.33. Calculate the underlying asset's price. Using the Black-Scholes-Merton model, determine the price of a call option on the underlying asset.2. Suppose the exchange rate of euro at current spot market is $1.25/€. If a call option has a strike price of $1.28/€ then we can say this option is a) inthemoney b) outofthemoney c) atthemoney d) past breakeven 3. Suppose the exchange rate of euro at current spot market is $1.25/€. If a put option has a strike price of $1.18/€ then we can say this option is a) inthemoney b) outofthemoney c) atthemoney d) past breakeven 4. According to our class discussion, suppose a U.S. based real estate developer is participating in a bid competition for a land in London. What of the followings can provide the best protection when Pound is expected to appreciate a) Call options b) buy futures c) sell forwards d) buy forwards 5. Which of following activities dominates foreign exchange transactions a) multinational corporations buying and selling foreign exchange b) importers and exporters buying and selling foreign exchange c) banks buying and selling foreign exchange d)…
- A put option has a strike (exercise) price of $0.82. If the spot exchange rate is $0.79, the put option would be ________. A. out of the money B. in the money C. at the money D. at a discountAssume that the price of a forward contract is 127.87. The European options on the forward contract has an exercise price $150, expiring in 60 days. 3.75% is the continuously compounded risk-free rate, and volatility is 0.33. Using the Black-Scholes-Merton model, compute the price of a put option on the underlying asset.Assume the spot Swiss franc is $0.7045 and the six-month forward rate is $0.7040. What is the Value of a six-month call and a put option with a strike price of $0.6845 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the European option-pricing models to value the call and put option. This problem can be solved using the FXOPM.xls spreadsheet. (Do not round intermediate calculations. Round your answers to 2 decimal places.) Option Call Put Value cents cents