Multiple Choice
For the following problem(s) , please include a copy of the cumulative standard normal tables.
-Suppose the current exchange rate is $1.42/€,the interest rate in the United States is 4.0%,the interest rate in the EU is 6%,and the volatility of the $/€ exchange rate is 20%.Using the Black-Scholes formula,the price of a three-month European call option on the Euro with a strike price of $1.45/€ will be closest to:
A) $0.040/€.
B) $0.059/€.
C) $0.078/€.
D) $0.097/€.
Correct Answer:
Verified
Correct Answer:
Verified
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