Question
Your are in New Zealand. You are planning to price an American put option on Canadian dollar futures, maturing in 4 months. You plan to
Your are in New Zealand. You are planning to price an American put option on Canadian dollar futures, maturing in 4 months. You plan to use a 2 step tree. The New Zealand interest rate is 0.70%, while the Canadian interest rate is 3.50% (both with continuous compounding). The Canadian dollar futures price has volatility 20.00%. What is the risk neutral probability for the up state?
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Economics Of Money Banking And Financial Markets
Authors: Frederic Mishkin
5th Edition
0134734203, 978-0134734200
