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Consider a 12 month three step binomial in which a currency currently trades at a price of $70. The currency price can go up 15%
Consider a 12 month three step binomial in which a currency currently trades at a price of
$70. The currency price can go up 15% or down 9% each period. The riskfree rate is 8%. Calculate the price of a European call option expiring in three periods with an exercise price
of $65. Also calculate the price of a European put option expiring in two periods with a strike
price of $75
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