European Option Model on Currency
In 1983, Garman and Kohlhagen developed a model that computes European currency options. The following demostrates the computation of Currency option prices. Based on the parameters value, the call price and the put price are, $0.333 and $0.097, respectively. The delta for the call and put are 0.6818 and -0.2599, respectively.
Copyright © XL Modeling.