[Solved] Suppose the exchange rate is $ 1 . 2 9 /

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Suppose the exchange rate is $ 1 . 2 9 / . Let r$ = 6 % , r = 7 % , u =

Suppose the exchange rate is $

1.29 / .

Let r$

= 6 %,

= 7 %,

= 1.3,

= 0.8,

and T

= 2 .

Using a

2 -

step binomial tree, calculate the value of a $

1.35 -

strike European put option on the British pound.

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