germanyvar - r 0.05 implied vol 0.1 r foreign 0.03 duration...

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Exhibit 28 Currency Option Template July 31, 1997 data Input data Today's September put price Currency value in $s $0.54 .23 cents Exercise price $0.53 Duration $0.14 Interest rate 0.05 German Foreign interest rate 0.03 Forwards Implied volatility (stdev) 0.1 t annualgrowth cents 0 0.54 Predicted 0.08 0.55 1.03 Call Price 1.86 0.25 0.55 1.03 Put Price 0.23 0.5 0.55 1.02 Other quantities for option price 1.03 d1 0.84 N(d1) 0.8 d2 0.8 N(d2) 0.79 N(-d1) 0.2 N(-d2) 0.21 A B C D E F G H I J 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
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500,000 dm coming on september 21 Payments 500000 Put price today 0.23 cents!!
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Unformatted text preview: r 0.05 implied vol 0.1 r foreign 0.03 duration 0.14 #ADDIN? $/dm today 0.54 $/dm on Sept 21 #ADDIN? Put strike price 0.53 Puts bought 8 62,500 dm/put $ value in September Payments #ADDIN? Put option received #ADDIN? Cost 1158.39 Total with hedge #ADDIN? Discounted cash flow from put A B C D E F G H I J K L 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45...
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This note was uploaded on 03/17/2010 for the course ACCT acct 4360 taught by Professor Robert during the Spring '10 term at DeVry Colorado Springs.

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germanyvar - r 0.05 implied vol 0.1 r foreign 0.03 duration...

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