International Financial Management 2nd Edition by Geert Bekaert ,Robert Hodrick

تمرين 40

Assume you are looking at prices from the NASDAQ OMX PHLX and that the price of a 3-month European AUD call option with a strike price of 92 cents per Australian dollar is 3.2¢/AUD. Suppose that the spot exchange rate is 90¢/AUD, the continuously compounded annualized dollar interest rate is 2%, and the analogous AUD interest rate is 5%. What is the implied volatility of the continuously compounded annualized rate of appreciation of the AUD relative to the dollar