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Use the European Option Pricing Formula to Find the Value

Question 63

Multiple Choice

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

Correct Answer:

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