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    1. Economics
    2. Principles of Mathematical Economics
    3. 30141

    Black-Scholes Formula in Switzerland

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    You are based in Switzerland. You own two call options both maturing in one year: call option to buy USD at strike 1.2200 CHF/USD and call option to buy EUR at strike 1.5200 CHF/EUR. Spot CHF/USD is 1.2255 and spot CHF/EUR is 1.5255. Which of the option costs more?

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    Solution Preview

    See the attached file. Thanks

    call options
    Posting
    You are based in Switzerland. You own two call options both maturing in one year: call option to ...

    Solution Summary

    Black-Scholes Formula is utilized. The call options for maturing in one year are found for Switzerland.

    $2.19

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