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[]
[]
[null,null,"Pricing Currency Options on the British pound"]
[]
[null,null,null,"A U.S.-based firm wishing to buy",null,null,null,null,null,"A British firm wishing to buy"]
[null,null,null,"or sell pounds (the foreign currency)","or sell euros (the foreign currency)",null,null,null,null,"or sell dollars (the foreign currency)","or sell euros (the foreign currency)"]
[]
[null,null,null,null,"Variable",null,"Value",null,null,null,"Variable",null,"Value"]
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[null,null,"Forward Rate (Domestic/Foreign)",null,"F0",null,{"$f":"G9*EXP((G12-G13)*G14)","v":1.7},null,null,null,"F0",null,{"$f":"M9*EXP((M12-M13)*M14)","v":0.58823529411764708}]
[null,null,"Strike rate (domestic/foreign)",null,"K",null,1.7,null,null,null,"K",null,{"$f":"1/G11","v":0.58823529411764708}]
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[null,null,"Time (years, 365 days)",null,"T",null,{"$f":"0.25*(360/365)","v":0.24657534246575341},null,null,null,"T",null,{"$f":"G14","v":0.24657534246575341}]
[null,null,"     Days equivalent",null,null,null,{"$f":"G14*365","v":90},null,null,null,null,null,{"$f":"M14*365","v":90}]
[null,null,"Volatility (% p.a.)",null,"σ",null,0.1,null,null,null,"σ",null,{"$f":"G16","v":0.1}]
[]
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[null,null,null,null,"N(d1)",null,{"$f":"NORMSDIST(G18)","v":0.50990399187031676},{"$f":"NORMSDIST(H18)","v":0.49009600812968324},null,null,"N(d1)",null,{"$f":"NORMSDIST(M18)","v":0.50990399187031676},{"$f":"NORMSDIST(N18)","v":0.49009600812968324}]
[null,null,null,null,"N(d2)",null,{"$f":"NORMSDIST(G19)","v":0.49009600812968324},{"$f":"NORMSDIST(H19)","v":0.50990399187031676},null,null,"N(d2)",null,{"$f":"NORMSDIST(M19)","v":0.49009600812968324},{"$f":"NORMSDIST(N19)","v":0.50990399187031676}]
[]
[null,null,"Call option premium (per unit fc)",null,"c",null,{"$f":"EXP(-G13*G14)*G9*G20-EXP(-G12*G14)*G11*G21","v":3.3015835147165662E-2},null,null,null,"c",null,{"$f":"EXP(-M13*M14)*M9*M20-EXP(-M12*M14)*M11*M21","v":1.1424164410783977E-2}]
[null,null,"Put option premium (per unit fc)",null,"p",null,{"$f":"EXP(-G12*G14)*G11*H21-EXP(-G13*G14)*G9*H20","v":3.3015835147165662E-2},null,null,null,"p",null,{"$f":"EXP(-M12*M14)*M11*N21-EXP(-M13*M14)*M9*N20","v":1.1424164410783977E-2}]
[null,null,"     (European pricing)"]
[]
[null,null,"Call option premium (%)",null,"c",null,{"$f":"G23/G9","v":1.9421079498332744E-2},null,null,null,"c",null,{"$f":"M23/M9","v":1.9421079498332761E-2}]
[null,null,"Put option premium (%)",null,"p",null,{"$f":"G24/G9","v":1.9421079498332744E-2},null,null,null,"p",null,{"$f":"M24/M9","v":1.9421079498332761E-2}]
[null,null,"Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management."]

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["rd",0.08]
["rf",0.08]
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["put",{"$f":"BS(S0,K,rd,rf,T,sigma,2)","v":3.3043124792947909E-2}]

{"sheet":"rd-rf","index":2,"n_rows":9,"n_cols":17,"rows_kept":9,"cut":false,"hidden":false,"merged":[]}
["S0",1.7,null,null,0.02,0.03,0.04,0.05,0.06,7.0000000000000007E-2,0.08,0.09,0.1,0.11,0.12,0.13,0.14000000000000001]
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["rf",0.08,null,"ATM call (K=$1.70/￡)",{"$f":"BS(S0,1.7,E1,rf,T,sigma,1)*100","v":2.2316157963799044},2.3913578586186923,2.5586553745527096,2.7335685991437986,2.9161384276047086,3.1063860049024616,3.3043124792947909,3.5098989031692951,3.7231062826495354,3.9438757756010023,4.1721290358418877,4.4077686995732002,4.6506790083166383]
["T",0.247,null,"OTM call (K=$1.75/￡)",{"$f":"BS(S0,1.75,E1,rf,T,sigma,1)*100","v":0.87947285820923482},0.96068989686149409,1.047593314158668,1.1404022887256449,1.2393290078489716,1.3445773066637856,1.4563413203658393,1.5748041634676246,1.7001366502556792,1.8324960705321636,1.9720250344343992,2.1188503996276586,2.2730822934497019]
["σ",0.1]
[]
["call",3.3043124792947909E-2]
["put",3.3043124792947909E-2]

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[]
[null,null,"Pricing Currency Options on the Euro"]
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[null,null,null,"A U.S.-based firm wishing to buy",null,null,null,null,null,"A European firm wishing to buy"]
[null,null,null,"or sell euros (the foreign currency)","or sell euros (the foreign currency)",null,null,null,null,"or sell dollars (the foreign currency)","or sell euros (the foreign currency)"]
[]
[null,null,null,null,"Variable",null,"Value",null,null,null,"Variable",null,"Value"]
[null,null,"Spot rate (domestic/foreign)",null,"S0",null,1.2749999999999999,null,null,null,"S0",null,{"$f":"1/G8","v":0.78431372549019618}]
[null,null,"Forward Rate (Domestic/Foreign)",null,"F0",null,{"$f":"G8*EXP((G11-G12)*G13)","v":1.2735945564360334},null,null,null,"F0",null,{"$f":"M8*EXP((M11-M12)*M13)","v":0.78517923537483747}]
[null,null,"Strike rate (domestic/foreign)",null,"K",null,1.2749999999999999,null,null,null,"K",null,{"$f":"1/G10","v":0.78431372549019618}]
[null,null,"Domestic interest rate (% p.a.)",null,"rd",null,4.1900000000000001E-3,null,null,null,"rd",null,{"$f":"G12","v":1.7425E-2}]
[null,null,"Foreign interest rate (% p.a.)",null,"rf",null,1.7425E-2,null,null,null,"rf",null,{"$f":"G11","v":4.1900000000000001E-3}]
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[null,null,"     Days equivalent",null,null,null,{"$f":"G13*365","v":30.416666666666664},null,null,null,null,null,{"$f":"M13*365","v":30.416666666666664}]
[null,null,"Volatility (% p.a.)",null,"σ",null,7.0000000000000007E-2,null,null,null,"σ",null,{"$f":"G15","v":7.0000000000000007E-2}]
[]
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[null,null,null,null,"N(d1)",null,{"$f":"NORMSDIST(G17)","v":0.48226225583896354},{"$f":"NORMSDIST(H17)","v":0.51773774416103646},null,null,"N(d1)",null,{"$f":"NORMSDIST(M17)","v":0.52578713905898455},{"$f":"NORMSDIST(N17)","v":0.47421286094101545}]
[null,null,null,null,"N(d2)",null,{"$f":"NORMSDIST(G18)","v":0.47421286094101356},{"$f":"NORMSDIST(H18)","v":0.52578713905898644},null,null,"N(d2)",null,{"$f":"NORMSDIST(M18)","v":0.51773774416103457},{"$f":"NORMSDIST(N18)","v":0.48226225583896543}]
[]
[null,null,"Call option premium (per unit fc)",null,"c",null,{"$f":"EXP(-G12*G13)*G8*G19-EXP(-G11*G13)*G10*G20","v":9.5818398680217465E-3},null,null,null,"c",null,{"$f":"EXP(-M12*M13)*M8*M19-EXP(-M11*M13)*M10*M20","v":6.7585038269022402E-3}]
[null,null,"Put option premium (per unit fc)",null,"p",null,{"$f":"EXP(-G11*G13)*G10*H20-EXP(-G12*G13)*G8*H19","v":1.0986792783607924E-2},null,null,null,"p",null,{"$f":"EXP(-M11*M13)*M10*N20-EXP(-M12*M13)*M8*N19","v":5.8942498226970397E-3}]
[null,null,"     (European pricing)"]
[]
[null,null,"Call option premium (%)",null,"c",null,{"$f":"G22/G8","v":7.5151685239386251E-3},null,null,null,"c",null,{"$f":"M22/M8","v":8.6170923793003548E-3}]
[null,null,"Put option premium (%)",null,"p",null,{"$f":"G23/G8","v":8.6170923793003323E-3},null,null,null,"p",null,{"$f":"M23/M8","v":7.5151685239387249E-3}]
[null,null,"Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management."]
[]
[null,null,"Forward rate (calculated)",null,null,null,{"$f":"G8*(1+((G14/360)*G11)/(1+((G14/360)*G12)))","v":1.2754507071056642}]
[null,null,"Notional principal",null,null,null,1000000]
[null,null,"Cost of a call option",null,null,null,{"$f":"G22*G31","v":9581.839868021747}]

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[]
[null,null,"Pricing Currency Options on the Japanese yen"]
[]
[null,null,null,"A Japanese firm wishing to buy",null,null,null,null,null,"A U.S.-based firm wishing to buy"]
[null,null,null,"or sell dollars (the foreign currency)","or sell euros (the foreign currency)",null,null,null,null,"or sell yen (the foreign currency)","or sell euros (the foreign currency)"]
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[null,null,null,null,"Variable",null,"Value",null,null,null,"Variable",null,"Value"]
[null,null,"Spot rate (domestic/foreign)",null,"S0",null,105.64,null,null,null,"S0",null,{"$f":"1/G9","v":9.4661113214691405E-3}]
[null,null,"Forward Rate (Domestic/Foreign)",null,"F0",null,{"$f":"G9*EXP((G12-G13)*G14)","v":104.20911353354749},null,null,null,"F0",null,{"$f":"M9*EXP((M12-M13)*M14)","v":9.5960896901601152E-3}]
[null,null,"Strike rate (domestic/foreign)",null,"K",null,100,null,null,null,"K",null,{"$f":"1/G11","v":0.01}]
[null,null,"Domestic interest rate (% p.a.)",null,"rd",null,8.8750000000000005E-4,null,null,null,"rd",null,{"$f":"G13","v":1.4525E-2}]
[null,null,"Foreign interest rate (% p.a.)",null,"rf",null,1.4525E-2,null,null,null,"rf",null,{"$f":"G12","v":8.8750000000000005E-4}]
[null,null,"Time (years, 365 days)",null,"T",null,1,null,null,null,"T",null,{"$f":"G14","v":1}]
[null,null,"     Days equivalent",null,null,null,{"$f":"G14*365","v":365},null,null,null,null,null,{"$f":"M14*365","v":365}]
[null,null,"Volatility (% p.a.)",null,"σ",null,0.12,null,null,null,"σ",null,{"$f":"G16","v":0.12}]
[]
[null,null,null,null,"d1",null,{"$f":"(LN(G10/G11)+(G16^2*G14/2))/(G16*SQRT(G14))","v":0.40357834534033488},{"$f":"-G18","v":-0.40357834534033488},null,null,"d1",null,{"$f":"(LN(M10/M11)+(M16^2*M14/2))/(M16*SQRT(M14))","v":-0.28357834534033527},{"$f":"-M18","v":0.28357834534033527}]
[null,null,null,null,"d2",null,{"$f":"G18-(G16*SQRT(G14))","v":0.28357834534033488},{"$f":"-G19","v":-0.28357834534033488},null,null,"d2",null,{"$f":"M18-(M16*SQRT(M14))","v":-0.40357834534033526},{"$f":"-M19","v":0.40357834534033526}]
[null,null,null,null,"N(d1)",null,{"$f":"NORMSDIST(G18)","v":0.65673859388430988},{"$f":"NORMSDIST(H18)","v":0.34326140611569012},null,null,"N(d1)",null,{"$f":"NORMSDIST(M18)","v":0.3883667670208758},{"$f":"NORMSDIST(N18)","v":0.6116332329791242}]
[null,null,null,null,"N(d2)",null,{"$f":"NORMSDIST(G19)","v":0.61163323297912409},{"$f":"NORMSDIST(H19)","v":0.38836676702087591},null,null,"N(d2)",null,{"$f":"NORMSDIST(M19)","v":0.34326140611569},{"$f":"NORMSDIST(N19)","v":0.65673859388431}]
[]
[null,null,"Call option premium (per unit fc)",null,"c",null,{"$f":"EXP(-G13*G14)*G9*G20-EXP(-G12*G14)*G11*G21","v":7.2683698524604452},null,null,null,"c",null,{"$f":"EXP(-M13*M14)*M9*M20-EXP(-M12*M14)*M11*M21","v":2.8994606683045883E-4}]
[null,null,"Put option premium (per unit fc)",null,"p",null,{"$f":"EXP(-G12*G14)*G11*H21-EXP(-G13*G14)*G9*H20","v":3.0629902499969717},null,null,null,"p",null,{"$f":"EXP(-M12*M14)*M11*N21-EXP(-M13*M14)*M9*N20","v":6.8803198149000773E-4}]
[null,null,"     (European pricing)"]
[]
[null,null,"Call option premium (%)",null,"c",null,{"$f":"G23/G9","v":6.8803198149000808E-2},null,null,null,"c",null,{"$f":"M23/M9","v":3.062990249996967E-2}]
[null,null,"Put option premium (%)",null,"p",null,{"$f":"G24/G9","v":2.8994606683045928E-2},null,null,null,"p",null,{"$f":"M24/M9","v":7.268369852460442E-2}]
[null,null,"Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management."]

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[]
[]
[null,null,"Pricing Currency Options on the Euro/Yen Crossrate"]
[]
[null,null,null,"A Japanese firm wishing to buy",null,null,null,null,null,"A European firm wishing to buy"]
[null,null,null,"or sell euros (the foreign currency)","or sell euros (the foreign currency)",null,null,null,null,"or sell yen (the foreign currency)","or sell euros (the foreign currency)"]
[]
[null,null,null,null,"Variable",null,"Value",null,null,null,"Variable",null,"Value"]
[null,null,"Spot rate (domestic/foreign)",null,"S0",null,133.88999999999999,null,null,null,"S0",null,{"$f":"1/G9","v":7.4688176861602814E-3}]
[null,null,"Forward Rate (Domestic/Foreign)",null,"F0",null,{"$f":"G9*EXP((G12-G13)*G14)","v":131.1082827059796},null,null,null,"F0",null,{"$f":"M9*EXP((M12-M13)*M14)","v":7.6272831842559997E-3}]
[null,null,"Strike rate (domestic/foreign)",null,"K",null,136,null,null,null,"K",null,{"$f":"1/G11","v":7.3529411764705881E-3}]
[null,null,"Domestic interest rate (% p.a.)",null,"rd",null,8.7500000000000002E-4,null,null,null,"rd",null,{"$f":"G13","v":2.1870000000000001E-2}]
[null,null,"Foreign interest rate (% p.a.)",null,"rf",null,2.1870000000000001E-2,null,null,null,"rf",null,{"$f":"G12","v":8.7500000000000002E-4}]
[null,null,"Time (years, 365 days)",null,"T",null,1,null,null,null,"T",null,{"$f":"G14","v":1}]
[null,null,"     Days equivalent",null,null,null,{"$f":"G14*365","v":365},null,null,null,null,null,{"$f":"M14*365","v":365}]
[null,null,"Volatility (% p.a.)",null,"σ",null,0.1,null,null,null,"σ",null,{"$f":"G16","v":0.1}]
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[null,null,null,null,"d2",null,{"$f":"G18-(G16*SQRT(G14))","v":-0.4163131842676393},{"$f":"-G19","v":0.4163131842676393},null,null,"d2",null,{"$f":"M18-(M16*SQRT(M14))","v":0.31631318426763944},{"$f":"-M19","v":-0.31631318426763944}]
[null,null,null,null,"N(d1)",null,{"$f":"NORMSDIST(G18)","v":0.37588240246153704},{"$f":"NORMSDIST(H18)","v":0.62411759753846296},null,null,"N(d1)",null,{"$f":"NORMSDIST(M18)","v":0.66140957687646074},{"$f":"NORMSDIST(N18)","v":0.33859042312353926}]
[null,null,null,null,"N(d2)",null,{"$f":"NORMSDIST(G19)","v":0.33859042312353937},{"$f":"NORMSDIST(H19)","v":0.66140957687646063},null,null,"N(d2)",null,{"$f":"NORMSDIST(M19)","v":0.62411759753846296},{"$f":"NORMSDIST(N19)","v":0.37588240246153704}]
[]
[null,null,"Call option premium (per unit fc)",null,"c",null,{"$f":"EXP(-G13*G14)*G9*G20-EXP(-G12*G14)*G11*G21","v":3.2301711047014123},null,null,null,"c",null,{"$f":"EXP(-M13*M14)*M9*M20-EXP(-M12*M14)*M11*M21","v":4.4580109759515159E-4}]
[null,null,"Put option premium (per unit fc)",null,"p",null,{"$f":"EXP(-G12*G14)*G11*H21-EXP(-G13*G14)*G9*H20","v":8.1176100181540107},null,null,null,"p",null,{"$f":"EXP(-M12*M14)*M11*N21-EXP(-M13*M14)*M9*N20","v":1.7739381673616186E-4}]
[null,null,"     (European pricing)"]
[]
[null,null,"Call option premium (%)",null,"c",null,{"$f":"G23/G9","v":2.4125559076117804E-2},null,null,null,"c",null,{"$f":"M23/M9","v":5.9688308957014845E-2}]
[null,null,"Put option premium (%)",null,"p",null,{"$f":"G24/G9","v":6.062894927294056E-2},null,null,null,"p",null,{"$f":"M24/M9","v":2.3751258122804708E-2}]
[null,null,"Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management."]

{"sheet":"Euro-Pound","index":6,"n_rows":29,"n_cols":14,"rows_kept":29,"cut":false,"hidden":false,"merged":[[4,3,4,7],[4,9,4,13],[5,3,5,7],[5,9,5,13]]}
[]
[]
[null,null,"Pricing Currency Options on the British pound/Euro Crossrate"]
[]
[null,null,null,"A European firm wishing to buy",null,null,null,null,null,"A British firm wishing to buy"]
[null,null,null,"or sell pounds (the foreign currency)","or sell euros (the foreign currency)",null,null,null,null,"or sell euros (the foreign currency)","or sell euros (the foreign currency)"]
[]
[null,null,null,null,"Variable",null,"Value",null,null,null,"Variable",null,"Value"]
[null,null,"Spot rate (domestic/foreign)",null,"S0",null,1.4730000000000001,null,null,null,"S0",null,{"$f":"1/G9","v":0.67888662593346905}]
[null,null,"Forward Rate (Domestic/Foreign)",null,"F0",null,{"$f":"G9*EXP((G12-G13)*G14)","v":1.4654357585205249},null,null,null,"F0",null,{"$f":"M9*EXP((M12-M13)*M14)","v":0.68239088215615828}]
[null,null,"Strike rate (domestic/foreign)",null,"K",null,1.5,null,null,null,"K",null,{"$f":"1/G11","v":0.66666666666666663}]
[null,null,"Domestic interest rate (% p.a.)",null,"rd",null,2.0719999999999999E-2,null,null,null,"rd",null,{"$f":"G13","v":4.1599999999999998E-2}]
[null,null,"Foreign interest rate (% p.a.)",null,"rf",null,4.1599999999999998E-2,null,null,null,"rf",null,{"$f":"G12","v":2.0719999999999999E-2}]
[null,null,"Time (years, 365 days)",null,"T",null,{"$f":"0.25*(360/365)","v":0.24657534246575341},null,null,null,"T",null,{"$f":"G14","v":0.24657534246575341}]
[null,null,"     Days equivalent",null,null,null,{"$f":"G14*365","v":90},null,null,null,null,null,{"$f":"M14*365","v":90}]
[null,null,"Volatility (% p.a.)",null,"σ",null,0.114,null,null,null,"σ",null,{"$f":"G16","v":0.114}]
[]
[null,null,null,null,"d1",null,{"$f":"(LN(G10/G11)+(G16^2*G14/2))/(G16*SQRT(G14))","v":-0.3835168897086797},{"$f":"-G18","v":0.3835168897086797},null,null,"d1",null,{"$f":"(LN(M10/M11)+(M16^2*M14/2))/(M16*SQRT(M14))","v":0.44012513248908192},{"$f":"-M18","v":-0.44012513248908192}]
[null,null,null,null,"d2",null,{"$f":"G18-(G16*SQRT(G14))","v":-0.44012513248908169},{"$f":"-G19","v":0.44012513248908169},null,null,"d2",null,{"$f":"M18-(M16*SQRT(M14))","v":0.38351688970867992},{"$f":"-M19","v":-0.38351688970867992}]
[null,null,null,null,"N(d1)",null,{"$f":"NORMSDIST(G18)","v":0.35066827483496255},{"$f":"NORMSDIST(H18)","v":0.64933172516503745},null,null,"N(d1)",null,{"$f":"NORMSDIST(M18)","v":0.67007675993105176},{"$f":"NORMSDIST(N18)","v":0.32992324006894824}]
[null,null,null,null,"N(d2)",null,{"$f":"NORMSDIST(G19)","v":0.32992324006894824},{"$f":"NORMSDIST(H19)","v":0.67007675993105176},null,null,"N(d2)",null,{"$f":"NORMSDIST(M19)","v":0.64933172516503757},{"$f":"NORMSDIST(N19)","v":0.35066827483496243}]
[]
[null,null,"Call option premium (per unit fc)",null,"c",null,{"$f":"EXP(-G13*G14)*G9*G20-EXP(-G12*G14)*G11*G21","v":1.8900160432610724E-2},null,null,null,"c",null,{"$f":"EXP(-M13*M14)*M9*M20-EXP(-M12*M14)*M11*M21","v":2.4117792313998798E-2}]
[null,null,"Put option premium (per unit fc)",null,"p",null,{"$f":"EXP(-G12*G14)*G11*H21-EXP(-G13*G14)*G9*H20","v":5.3288262117780483E-2},null,null,null,"p",null,{"$f":"EXP(-M12*M14)*M11*N21-EXP(-M13*M14)*M9*N20","v":8.5540440971307863E-3}]
[null,null,"     (European pricing)"]
[]
[null,null,"Call option premium (%)",null,"c",null,{"$f":"G23/G9","v":1.2831066145696349E-2},null,null,null,"c",null,{"$f":"M23/M9","v":3.5525508078520236E-2}]
[null,null,"Put option premium (%)",null,"p",null,{"$f":"G24/G9","v":3.6176688470998287E-2},null,null,null,"p",null,{"$f":"M24/M9","v":1.260010695507365E-2}]
[null,null,"Copyright © 2004, Barbara S. Petitt and Michael H. Moffett, Thunderbird, The Garvin School of International Management."]