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

تمرين 46

Suppose the implied volatilities expressed in percent per annum of yen call options against the dollar with maturities of 1, 2, and 3 months are 9%, 10%, and 11%, respectively. If you thought that the market would soon price options to have a common volatility of 10%, what position would you take in the options to expect to profit from your beliefs