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03-06-2023
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Assume the spot Swiss franc is $0.7080 and the six-month forward rate is $0.7110. What is the Value of a six-month call and a put option with a strike price of $0.6880 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the European option-pricing models to value the call and put option. This problem can be solved using the FXOPM.xls spreadsheet. (Do not round intermediate calculations. Round your answers to 2 decimal places.)
option value call
put _

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