NO.PZ2020021205000029
问题如下:
The current exchange rate for a currency is 1.2000 and the volatility of the exchange rate is 10%. Calculate the value of a call option to buy 100 units of the currency in two years at an exchange rate of 1.2500. The domestic and foreign risk-free interest rates are 3% and 5%, respectively.
选项:
解释:
In this case, S0 = 1.2000, K = 1.2500, r = 0.03,
rf = 0.05, u = 0.1, and T = 2, and Equation (15.10)
gives
d,== -0.5008
d2 == -0.6422
C = 1.2OOON(-O.5OO8) - 1.25OON(-O.6422)= 0.028
This is the value of an option to buy one unit of the currency. The value of an option to buy 100 units is 2.8.
用excel求N(d1)的函数是什么