An American put option to sell a Swiss franc for dollars has a strike price of $0.80 and a time to maturity of 1 year. The volatility of the Swiss franc is 10%, the dollar interest rate is 6%, the Swiss franc interest rate is 3%, and the current exchange rate is 0.81. Use a three-time-step tree to value the option. Estimate the delta of the option from your tree.

AppendixLO1