Calculate The Jpy Value Of A One Year European Call Option On One Aud With A Strike 3798759

Assume the spot AUD/JPY (Australian Dollar/Japanese Yen) exchange rate is 85i.e. 1 AUD = 85 JPY, the risk free interest rate in Australia is 4% per annum, the risk free interest rate in Japan is 1% per annum and the AUD/JPY exchange rate volatility is 25% per annum.a. Calculate the JPY value of a one-year European call option on one AUD with a strike of 88 JPY.b. Use your answer in part a to calculate the AUD value of a one-year European put option on 88 JPY with a strike of 1 AUD

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