Consider a six-month American put option on a foreign currency when the exchange rate (domestic currency per
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Consider a six-month American put option on a foreign currency when the exchange rate (domestic currency per foreign currency) is 0.75, the strike price is 0.74, the domestic risk-free rate is 5%, the foreign risk-free rate is 3%, and the exchange rate volatility is 14% per annum. Use the DerivaGem software (binomial tree with 100 steps) to calculate the price, delta, gamma, vega, theta, and rho of the option. (The software can be downloaded from the author's website.) Verify that delta is correct by changing the exchange rate to 0.751 and recomputing the option price.
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