Calculate and when a binomial tree is constructed to value an option on a foreign currency Study guides, Class notes & Summaries

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Calculate ,, and when a binomial tree is constructed to value an option on a foreign currency.
  • Calculate ,, and when a binomial tree is constructed to value an option on a foreign currency.

  • Answers • 3 pages • 2020
  • Calculate , , and when a binomial tree is constructed to value an option on a foreign currency. The tree step size is one month, the domestic interest rate is 5% per annum, the foreign interest rate is 8% per annum, and the volatility is 12% per annum.
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