Using Call and Put Options
Scenario: The spot British pound is $1.933 and the six-month forward rate is $1.925. The annualized six-month Eurodollar rate is 5.4% and the volatility of the British pound is 19.1%.
Your Task: Calculate the values of the American call and put options when the strike price is $1.915. Use the European option-pricing model.
Refer to Chapter 7: Futures and Options on Foreign Exchange to solve this problem.
Access the European FX Option Pricing Model template available through the International Financial Management Online Learning Center: https://highered.mcgraw-hill.com/sites/0078034655/student_view0/excel_software.html