Valuation Assignment | Professional Writing
Put Option Valuation. Determine the value of a put option on the CAD that has the following characteristics: (a) it is of type European (b) it matures in 6 months (c) the strike price is USD 0.95. In the spot market the CAD is trading at USD 0.92.
The US and Canadian interest rates are 4% and 6% respectively. The CAD has an annual standard deviation of 12%.
a) (4 points) Write out fully the general form of the Black-Scholes formula for a European put.
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