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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
416 Derivatives and Risk Management
where,
d
S
S
r r T
T
X
1
0
2
2
=
+ +
ln ( *)
σ
σ
and d
2
= d
1
s
T
Here, S
0
= INR 48, S
X
= INR 47.20, T = 30 / 365 = 0.0822; r = 8%; r* = 6%; s = 14%. us:
d
1
2
48
47 2
0 08 0 06
0 14
2
0 0822
0 14 0 082
=
+ +
×ln
.
( . . )
.
.
. .
22
0 47977= .
d
2
= 0.47977 – 0.14 ×
0 0822.
= 0.43963
N(–d
1
) = N(–0.47977) = 0.3157
N(d
1
) = N(0.43963) = 0.3301
P = (47.20 × e
–0.08×0.0822
× 0.3301) – (48 × e
–0.06×0.0822
× 0.3157) = INR 0.3998
Premium per USD 100,000 = 100,000 × 0.3998 = INR 39,980
e option is useful only if the U.S. dollar value is INR 47.20 – INR 0.3998 = INR 46.8002 or lower.
17.2 Interest Rate Options
Interest rate ...
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Publisher Resources

ISBN: 9781299447547Publisher Website