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The Cox, Ross and Rubinstein Tree Model An exchange rate has a volatility of 12%. The domestic and foreign risk-free interest rates are 6% and

The Cox, Ross and Rubinstein Tree Model

An exchange rate has a volatility of 12%. The domestic and foreign risk-free interest rates are 6% and 4%, respectively. The time step on a binomial tree (?t) is 3-months. What are the p, u and d parameters for a Cox, Ross, and Rubinstein model?

p =

u =

d =

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