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Question
The Nikkei index is 22,550, K = 21,000, σ = 0.19, rf = 0.04, S = 0.10, r = 0.08 anddiv = 0.01. The yen to dollar spot rate is 104 and the correlation coefficient is 0.30. What would be the dollar price of a 2-year equity-linked foreign exchange call?
A) $45.02
B) $35.02
C) $25.01
D) $15.02
Answer
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