12. (FX American Option)

Write a VBA program to determine the initial price of an American-style options on the British pound in a binomial model based on the following data:

S(0) 5 $1.54; K 5 $1.54; T 5 1; r 5 8%; rf 5 6%; σ 5 30%; M 5 10 Gradually increase the value of M and report the subsequent option prices. Use the value of u 5 eσ ffiffiffiffi

Δt p and d 5 e2σ ffiffiffiffi

Δt p