Exercise 11.5.4 Assume the BOPM. (1) Verify that the risk-neutral probability for forex options is [ e(r−$r )t −d ]/(u−d), where u and d denote the up and the down moves, respectively, of the domestic/foreign exchange rate in t time. (2) Let S be the domestic/foreign exchange rate. Show that the delta of the forex call equals h ≡ e−$rt Cu −Cd Su− Sd if we use the foreign riskless asset (riskless in terms of foreign currency) and the domesticriskless asset to replicate the option. Above, h is the price of the foreign riskless asset held in terms of the foreign currency. (Hint: Review Eq. (9.1).)