# Price of 077275 per 10 mxn is greater than your

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price of \$0.77275 per 10 MXN is greater than your expected spot price of \$0.70500 per 10 MXN Your anticipated profit from a short position in three contracts would be: 50 . 162 , 10 \$ 500,000 \$0.070500) - (\$0.077275 3 MXN
6. Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 108.5 Sep Japanese yen European call contract at the following terminal spot prices, cents per yen: 106, 108, 108.5, 110, and 112. Ignore any time value of money effect.
7. Using the market data in Exhibit 7.6, show the net terminal value of a long position in one 108.5 Sep Japanese yen European put contract at the following terminal spot prices, cents per yen: 106, 108, 108.5, 110, and 112. Ignore any time value of money effect.
8. Assume that the Japanese yen is trading at a spot price of 92.04 cents per 100 yen. Further, assume that the premium of an American call (put) option with a striking price of 93 is 2.10 (2.20) cents. Calculate the intrinsic value and the time value of the call and put options.
9. Assume the spot Swiss franc is \$0.70000 and the six-month forward rate is \$0.6950. What is the minimum price that a six-month American call option with a striking price of \$0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.5 percent.
10. Do problem 9 again assuming an American put option instead of a cell option.
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