9. In this problem we use the lognormal approximation to draw one-step binomial trees from the perspective

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9. In this problem we use the lognormal approximation to draw one-step binomial trees from the perspective of a yen-based investor. Use the information in Table 4.

a. Construct a one-step tree for the Nikkei index.

b. Construct a one-step tree for the exchange rate (yen/dollars).

c. Use the trees to price Nikkei and dollar forwards. Compare your answers with those in Example 7.

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 09:00 AM

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9. In this problem we use the lognormal approximation to draw one-step binomial trees from the perspective

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Derivatives Markets Pearson New International Edition

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