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  • FXOPM

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    Sailor Saturne
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    This document provides pricing information for a European FX option with a spot rate of 122, an exercise price of 122, and 108 days to expiration. It lists the interest rates in the U.S. and foreign markets, an option volatility of 15.985%, and calculates values for d1, d2, N(d1), N(d2) to derive a call option premium of 4.50 and put option premium of 3.97.

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    This document provides pricing information for a European FX option with a spot rate of 122, an exercise price of 122, and 108 days to expiration. It lists the interest rates in the U.S. and foreign markets, an option volatility of 15.985%, and calculates values for d1, d2, N(d1), N(d2) to derive a call option premium of 4.50 and put option premium of 3.97.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    7 views1 page

    FXOPM

    Uploaded by

    Sailor Saturne
    This document provides pricing information for a European FX option with a spot rate of 122, an exercise price of 122, and 108 days to expiration. It lists the interest rates in the U.S. and foreign markets, an option volatility of 15.985%, and calculates values for d1, d2, N(d1), N(d2) to derive a call option premium of 4.50 and put option premium of 3.97.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    EUROPEAN FX OPTION PRICING MODEL

    Spot Rate(D) =

    122.00

    Forward Rate(D) =

    122.53

    Spot Rate(F)=

    81.97

    Forward Rate (F) =

    81.61

    U.S. Interest Rate =


    Exercise Price =
    Days to Expiration =

    0.5375%
    122.00
    108

    Foreign Interest Rate =


    Option Volatility =

    -0.93%
    15.985%

    Years to Expiration (T) =

    0.2959

    d1 =

    0.0933

    N(d1) =

    0.5372

    d2 =

    0.0064

    N(d2) =

    0.5025

    Call Option Premium =

    4.50

    Put Option Premium =

    3.97

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