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Exchange options put call parity medicine


Options exchange medicine put parity call


The USD riskless rate is 5%, the NZD riskless rate is 7%, exchange rate volatility is 20%, and the option will expire in 1 year. The spot rate is 0.52 (indirect quote) and the strike rate is 0.51.To value the option as a call, we treat the NZD as the domestic CCY and the USD as the foreign CCY. The domestic and foreign interest rates are therefore 7% and 5%, respectively. In practice transaction costs and financing costs (leverage) mean this relationship will not exactly hold, but in liquid markets the relatThis review video presents key points of a very important topic in MFE Exam: Put Call Parity for Exchange Option.




Exchange options put call parity medicine

Exchange options put call parity medicine

Exchange options put call parity medicine