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Suppose the exchange rate is $1.99/. Let r$ = 6%, r = 7%, u = 1.27, d = 0.78, and T = 1. Using a

Suppose the exchange rate is $1.99/. Let r$ = 6%, r = 7%, u = 1.27, d = 0.78, and T = 1. Using a 2-step binomial tree, calculate the value of a $2.10-strike European put option on the British pound.

a. $0.2671

b. $0.3235

c. $0.3435

d. $0.3333

e. $0.3282

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