94. Find the input d1of the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.
A. d1= 0.103915B. d1= 2.9871C. d1= -0.0283D. None of the above
95. Find the input d1of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r$= 5.5% and r¥= 6%.
96. The Black-Scholes option pricing formulae
97. Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.
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Chapter 07 Futures and Options on Foreign Exchange
98. Use the European option pricing formula to find the value of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r$= 5.5% and r¥= 6%.
A. 0.005395B. 0.005982C. $0.006137/¥D. None of the above
99. Empirical tests of the Black-Scholes option pricing formula
.100. Empirical tests of the Black-Scholes option pricing formula
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Chapter 07 Futures and Options on Foreign ExchangeChapter 07 Futures and Options on Foreign Exchange Answer KeyMultiple Choice Questions

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- Spring '11
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