ADMS4503-Assignment2-F10

ADMS4503-Assignment2-F10 - AP/ADMS 4503 3.0 Derivative...

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Page 1 AP/ADMS 4503 3.0 Derivative Securities Fall 2010 Assignment #2 Instructions: (1) This assignment is to be done individually . You must sign and submit the standard cover page supplied as the last page of this assignment. (2) This assignment is due in the last class . (3) The work can be typed or handwritten . If it is handwritten and too difficult to read due to messiness and poor handwriting, it will receive zero credit . (4) You must show all details to receive full credit . (5) This assignment contains 5 questions and carries a total of 30 points . Question 1 (6 marks) The CAD/GBP spot exchange rate is 1.6412 (i.e. GBP 1 = CAD 1.6412). The 6- month 1.64-strike call on CAD/GBP is selling at CAD 0.0670. The risk-free rates in Canada and the UK are respectively 3.15% and 3.6% per annum continuously compounded. All options considered in this question are European-style and each option is on GBP 62,500. (a) What is the theoretical price of the 6-month put on CAD/GBP?
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This note was uploaded on 12/17/2010 for the course ATKINSON adms 4503 taught by Professor Nabil during the Fall '10 term at York University.

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ADMS4503-Assignment2-F10 - AP/ADMS 4503 3.0 Derivative...

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