A stock trades in the US market for $98. The dividend yield on thestock is 4.15%: The volatility of the stock is 35%. The US interest rate,continuously compounded, is 6.5%. I want to quote on quantoing thestock into a foreign currency that has a continuously compounded interestrate of 8.14%. The volatility of the exchange rate measured in units offoreign currency per US dollar is 12% while the correlation between thestock and the exchange rate is 0.45.
Prepare a quote on a six month call option struck at $110 and quantoedinto the foreign currency.