申論題

A U.S.-based MNC, has receivables of EUR 12,000 in 90 days. Spot EURUSD equals 1.43. The firm’s economist forecast that the EURUSD could end the period with a value of either 1.40 (probability of 60%) or 1.50 (40%). The firm is concerned about the resulting currency risk. It has also assessed some hedging alternatives.1. Forward contracts of 90-day EURUSD are traded at 1.45. 2. The 90-day interest rates (annual/360) in the United States and Europe are 5% and 7%, respectively. 3. Put Options with 90-day expiration and a strike price of USD 1.45 are available for a premium of USD 0.02. Please answer the following questions: