Find the input d 1 of the black scholes price of a

94. Find the input d
1
of 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. d
1
= 0.103915
B. d
1
= 2.9871
C. d
1
= -0.0283
D. None of the above
95. Find the input d
1
of 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. 0.005395
B. 0.005982
C. $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 Exchange
Chapter 07 Futures and Options on Foreign Exchange Answer Key
Multiple Choice Questions