Multiple Choice
Suppose the spot exchange rate is $1.22 per British pound and the strike on a dollar denominated pound put is $1.20. Assume r = 0.04, rf = 0.05, σ = 0.20 and the option expires in 270 days. What is the put option price?
A) $0.075
B) $0.085
C) $0.095
D) $0.105
Correct Answer:
Verified
Correct Answer:
Verified
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