An American put option to sell a Swiss franc for dollars has a strike price of $0.75 and a time to maturity of one year. The volatility of the Swiss franc is 20%, the dollar interest rate is 4%, the Swiss franc interest rate is 2%, and the current exchange rate is 0.78. Use a three-time-step tree to value the option.

1. Please fill in the value for the blank cells in the tree diagram below. Yellow (top cells) for stock price, green (middle cells) for European put option premium (5 marks), and blue (bottom cells) for American put option premium (5 marks).

						1.10291
						0
				0.98263
		0.87547		0		0.87547
		0.0134				0
0.78000		0.0134		0.78		0
				0.02716
		0.69494				0.69494
				0.61915		0.05506
				0.13085		0.55163
						0.19837