Calculateu, d, and p when a binomial tree is constructed to value at option on a foreign

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Calculateu,

d, and p when a binomial tree is constructed to value at option on a foreign currency. The tree step size is 1 month, the domestic interest rate is 5% per annum, the foreign interest rate is 8% per annum, and the volatility is 12% per annum.

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Options Futures And Other Derivatives

ISBN: 9780131499089

6th Edition

Authors: John Hull

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Question Posted: Oct 19, 2024 06:01 AM

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Calculateu, d, and p when a binomial tree is constructed to value at option on a foreign

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Options Futures And Other Derivatives

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