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Option pricing

Được đăng lên bởi Vivian Chen
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Pricing Currency Options on the British pound/Euro Crossrate
A European firm wishing to buy
or sell pounds (the foreign currency)

Spot rate (domestic/foreign)
Strike rate (domestic/foreign)
Domestic interest rate (% p.a.)
Foreign interest rate (% p.a.)
Time (years, 365 days)
Days equivalent
Volatility (% p.a.)
Call option premium (per unit fc)
Put option premium (per unit fc)

Variable
S0
X
rd
rf
T

A British firm wishing to buy
or sell euros (the foreign currency)

Variable
S0
X
rd
rf
T

s

Value
€ 1.4730
€ 1.5000
2.072%
4.160%
0.247
90.00
11.400%

s

Value
£0.6789
£0.6667
4.160%
2.072%
0.247
90.00
11.400%

c
p

€ 0.0189
€ 0.0533

c
p

£0.0241
£0.0086

c
p

1.28%
3.62%

c
p

3.55%
1.26%

(European pricing)

Call option premium (%)
Put option premium (%)

Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management.

...
Pricing Currency Options on the British pound/Euro Crossrate
Variable Value Variable Value
Spot rate (domestic/foreign)
S
0
€ 1.4730 S
0
£0.6789
Strike rate (domestic/foreign) X € 1.5000 X £0.6667
Domestic interest rate (% p.a.)
r
d
2.072% r
d
4.160%
Foreign interest rate (% p.a.)
r
f
4.160% r
f
2.072%
Time (years, 365 days) T 0.247 T 0.247
Days equivalent 90.00 90.00
Volatility (% p.a.) s 11.400% s 11.400%
Call option premium (per unit fc) c € 0.0189 c £0.0241
Put option premium (per unit fc) p € 0.0533 p £0.0086
(European pricing)
Call option premium (%) c 1.28% c 3.55%
Put option premium (%) p 3.62% p 1.26%
Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management.
A European firm wishing to buy
A British firm wishing to buy
or sell pounds (the foreign currency)
or sell euros (the foreign currency)
Option pricing - Người đăng: Vivian Chen
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