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You are in New Zealand. You are planning to price an American put option on Canadian dollar futures, maturing in 2 months. You plan to

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You are in New Zealand. You are planning to price an American put option on Canadian dollar futures, maturing in 2 months. You plan to use a 2 step tree. The New Zealand interest rate is 2.20%, while the Canadian interest rate is 5.00% (both with continuous compounding). The Canadian dollar futures price has volatility 11.00%. What is the risk neutral probability for the up state? 0.4888 0.4554 0.4921 0.5210 You are in New Zealand. You are planning to price an American put option on Canadian dollar futures, maturing in 2 months. You plan to use a 2 step tree. The New Zealand interest rate is 2.20%, while the Canadian interest rate is 5.00% (both with continuous compounding). The Canadian dollar futures price has volatility 11.00%. What is the risk neutral probability for the up state? 0.4888 0.4554 0.4921 0.5210

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