In the 1980s, Bankers Trust developed index currency option notes (ICONs). These are

Options, Futures, and Other Derivatives | 9th Edition | ISBN: 9780133456318 | Authors: John C. Hull

Problem 1.23 Chapter 1

Options, Futures, and Other Derivatives | 9th Edition

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Options, Futures, and Other Derivatives | 9th Edition | ISBN: 9780133456318 | Authors: John C. Hull

Options, Futures, and Other Derivatives | 9th Edition

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Problem 1.23

In the 1980s, Bankers Trust developed index currency option notes (ICONs). These are bonds in which the amount received by the holder at maturity varies with a foreign exchange rate. One example was its trade with the Long Term Credit Bank of Japan. The ICON specified that if the yenUS dollar exchange rate, ST , is greater than 169 yen per dollar at maturity (in 1995), the holder of the bond receives $1,000. If it is less than 169 yen per dollar, the amount received by the holder of the bond is 1,000 max 0; 1,000 169 ST 1 When the exchange rate is below 84.5, nothing is received by the holder at maturity. Show that this ICON is a combination of a regular bond and two options. 1.

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History 225 LECTURE Notes Freedom is not absolute. Freedom from Want, Freedom from Fear Annual Message to congress, Jan 6 1941 Roosevelt Four essential human freedoms:  Freedom of speech and expression  Freedom of worship  Freedom from want o Economic understanding which will secure to every nation a healthy life for all inhabitants  Freedom...

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Chapter 1, Problem 1.23 is Solved
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Textbook: Options, Futures, and Other Derivatives
Edition: 9
Author: John C. Hull
ISBN: 9780133456318

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