Please see attached sheet for complete description of the problem.
British Pound Spot Price $1.55
Annual. 30-day sterling interest rate 10%
Annual. 30-day U.S. interest rate 8.50%
Annual. Stand. Dev. Of 17%
dollar:pound exchange rate
Calculate the value of a 30-day PHLX call option on the pound at a strike price of $1.57.© BrainMass Inc. brainmass.com June 3, 2020, 9:06 pm ad1c9bdddf
The value of call option is calculated using Black-Scholes model. The dollar and pound exchange rates are examined.