1
حسابداری و مالی::
نرخ اعمال
¦ Currency option valuation, the determination of the option's premium, is a complex combination of the cur- rent spot rate, the specific strike rate, the forward rate (which itself is dependent on the current spot rate and interest differentials), currency volatility, and time to maturity.
Spot rate (domestic/foreign) S0 $1.2480 S0 €0.8013 Strike rate (domestic/foreign) X $1.2500 X €0.8000 Domestic interest rate (% p.a.) rd 1.453% rd 2.187% Foreign interest rate (% p.a.) rf 2.187% rf 1.453% Time (years, 365 days) T 1.000 T 1.000 Days equivalent 365.00 365.00 Volatility (% p.a.) s 10.500% s 10.500% Call option premium (per unit fc) c $0.0461 c €0.0366 Put option premium (per unit fc) p $0.0570 p €0.0295 (European pricing) Call option premium (%) c 3.69% c 4.56% Put option premium (%) p 4.57% p 3.68%
The table above indicates that a 1-year call option on euros at a strike rate of $1.25/€ will cost the buyer $0.0632/€, or 4.99%.
June (3-month) put option for £1,000,000 with a strike rate of $1.75/£; premium of 1.5%
For example, the premium on a 1-month call option on the euro with a strike rate forward-at-the-money at the end of January 2009 rose from $0.0096/€ to $0.0286/€ when volatility is 20%, not 7%.
واژگان شبکه مترجمین ایران