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Suppose the exchange rate is $1.21/C$. Let r $ = 7%, r C$ = 6%, u = 1.20, d = 0.84, and T = 1.
Suppose the exchange rate is $1.21/C$. Let r $ = 7%, r C$ = 6%, u = 1.20, d = 0.84, and T = 1. Using a 2-step binomial tree, calculate the value of a $1.30-strike American put option on the Canadian dollar? PLEASE DO NOT ANSWER USING EXCEL
Correct answer is $.0.1669
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Financial Issues In Emerging Economies
Authors: Rita Biswas , Michael Michaelides
1st Edition
