Probability that a standardized normally distributed

This preview shows page 43 - 46 out of 46 pages.

) = Probability that a standardized, normally distributed, random variable will be less than or equal to d . T r T e d E d N F c $ )] N( ) ( [ 1 1
Currency Options Black-Scholes Pricing Formula Use the European option pricing formula to find the value of a six-month call option on Swiss franc Spot price is $0.7000 Six-month forward rate is $0.6950 Strike price is $0.6800 Volatility is 14.2 percent per annum r $ = 3.5%
Currency Options Black-Scholes Pricing Formula T T σ E F d T 2 1 2 1 ln T d d 1 2 T r T e d E d N F c $ )] N( ) ( [ 1 1 2675 . 0 5 . 0 142 . 0 ) 5 . 0 ( ) 143 . 0 ( 2 1 68 50 . 69 ln 2 1 d 1671 . 0 5 . 0 142 . 0 2675 . 0 2 d 6055 . 0 ) N( 1 d 5 . 0 ) N( 2 d cents or e c 51 . 3 0351 . 0 )] 5664 . 0 ( 68 ) 6055 . 0 ( 50 . 69 [ ) 5 . 0 )( 035 . 0 (
Thank You! Charles B. (Chip) Ruscher, PhD Department of Finance

  • Left Quote Icon

    Student Picture

  • Left Quote Icon

    Student Picture

  • Left Quote Icon

    Student Picture