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Suppose the exchange rate is $1.21/C$. Let r $ = 7%, r C$ = 8%, u = 1.15, d = 0.86, and T = 1.

Suppose the exchange rate is $1.21/C$. Let r$ = 7%, rC$ = 8%, u = 1.15, d = 0.86, and T = 1. Using a 2-step binomial tree, calculate the value of a $1.30-strike European put option on the Canadian dollar.

Answers: image text in transcribeda.

$0.1558

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