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Question 31 A European at-the-money call option on a currency has four years until maturity....

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Question 31 A European at-the-money call option on a currency has four years until maturity. Not yet The exchange rate volatility is 10%, the domestic risk-free rate is 2% and the foreign risk-free rate is 5%. answered The current exchange rate is 1.2000. Marked out of 1.00 What is the value of the option? p Flag question O a. 0.98N(0.25)-1.11(0.05) O b. 0.98N(-0.5)-1.11N(-0.7) O c. 0.98N(0.10)-1.11N(0.06) O d. 0.98N(-0.3)-1.11N(-0.5) Question 32 When the Black-Scholes-Merton and binomial tree models are used to value an option on a non-dividend-paying stock, which of the following is true? Not yet answered Marked out of 1.00 O a. The binomial tree price converges to a price slightly above the Black-Scholes-Merton price as the number of time steps is increased Flag question O b. The binomial tree price converges to a price slightly below the Black-Scholes-Merton price as the number of time steps is increased O c. The binomial tree price converges to the Black-Scholes-Merton price as the number of time steps is increased

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