What is the value of a put option with similar parameters

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Reference no: EM131310030

Determine the value of a call option on the JPY that has the following characteristics: (a) it is of type European (b) it matures in 9 months (c) the strike price is USD 0.010. In the spot market the JPY is trading at USD 0.008. The US and Japanese interest rates are 4% and 1% respectively. The JPY has an annual standard deviation of 15%.

Given the information in the above question, what is the value of a put option with similar parameters?

Reference no: EM131310030

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