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The AUD is currently worth 0.61 USD, and this exchange rate has a volatility of 10% per annum. The domestic interest rate is 5% per
The AUD is currently worth 0.61 USD, and this exchange rate has a volatility of 10% per annum. The domestic interest rate is 5% per annum and the foreign interest rate is 8% per annum. Value a 3-month American call with strike price of 0.6 using a three-step tree.
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The Handbook Of Structured Finance
Authors: Arnaud De Servigny, Norbert Jobst
1st Edition
0071468641, 978-0071468640
