Chap00尤恩,国际财务管理,英文第五版.pptVIP

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%. N(d) was calculated using NORMSDIST in Excel, and none of the intermediate steps were rounded—use the memory function of your calculator. Binomial Futures Option Pricing The payoffs of the portfolio are –$0.1683 in both the up and down states. With futures there is no cash flow at initiation. Without an arbitrage, it must be the case that the call option income today is equal to the present value o