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:-
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:-
Chapter8: Relationships Among Inflation, Interest Rates, And Exchange Rates
Section: Chapter Questions
Problem 19QA
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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
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