Suppose the exchange rate is $1.24/C$. Let r$ = 2%, rC$ = 7%, u =...
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Suppose the exchange rate is $1.24/C$. Let r$ = 2%, rC$ = 7%, u = 1.20, d = 0.78, and T = 1.5. Using a 2-step binomial tree, calculate the value of a $1.10-strike European call option on the Canadian dollar.
| a. | $0.1555 | |
| b. | $0.1579 | |
| c. | $0.1603 | |
| d. | $0.1812 | |
| e. | $0.1522 |
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