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Suppose the exchange rate is $1.61/. Let r$ = 8%, r = 2%, u = 1.21, d = 0.85, and T = 0.5. Using a
Suppose the exchange rate is $1.61/. Let r$ = 8%, r = 2%, u = 1.21, d = 0.85, and T = 0.5. Using a 2-step binomial tree, calculate the value of a $1.70-strike American put option on the euro.
Correct a. $0.1864
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Elements Of Financial Risk Management
Authors: Peter Christoffersen
2nd Edition
0128102357, 9780128102350
