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    Option pricing- call option

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    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
    https://brainmass.com/business/business-math/option-pricing-call-option-166146

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    Solution Summary

    The value of call option is calculated using Black-Scholes model. The dollar and pound exchange rates are examined.

    $2.19

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