| Black-Scholes Worksheet for Foreign Currency Options |
| | The user must change the yellow inputs |
| | Inputs | | | | % of $ Amount | | % of £ Amount |
| Spot Rate ($/£) | 1.0000 | | Call Price = | | 0.20% | | 0.20% |
| Strike price ($/£) | 1.0000 |
| volatility (annualized) | 1.00% | | Put Price = | | 0.20% | | 0.20% |
| US interest rate (annualized) | 1.000% |
| Sterling interest rate (annualized) | 1.000% |
| time to maturity in days (365 day year) | 90 |
| time to maturity in years | 0.25 |
| | Call Option | | Put Option |
| Option Prices | 0.0020 | | 0.0020 | | The units are the same as the exchange rate |
| Delta | 0.4998 | | -0.4978 | | Derivative of price wrt spot rate |
| Vega | 0.0020 | | 0.0020 | | Derivative of price wrt volatility |
| Gamma | 80.1425 | | 80.1425 | | Derivative of delta wrt spot rate |
| Theta | 0.0000 | | 0.0000 | | Derivative of price wrt time measured in days |
| Rho domestic | 0.0012 | | -0.0012 | | Derivative of price wrt to the domestic interest rate |
| Rho foreign | -0.0012 | | 0.0012 | | Derivativeof price wrt to the foreign interest rate |
| Required Expressions |
| Black-Scholes D1 | 0.0025 |
| Black-Scholes D2 | -0.0025 |
| Cumulative Normal(D1) | 0.5010 |
| Cumulative Normal(D2) | 0.4990 |
| Normal PDF(D1) | 0.3989 |
| Normal PDF(D2) | 0.3989 |
| Cumulative Normal(-D1) | 0.4990 |
| Cumulative Normal(-D2) | 0.5010 |
tn2019
Garman.Kolhagen.FXOptionPricingprotected1.xlsx
