Suppose the exchange rate is $1.31/. Let r$ = 5%, r = 6%, u =...
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Suppose the exchange rate is $1.31/. Let r$ = 5%, r = 6%, u = 1.40, d = 0.70, and T = 2. Using a 2-step binomial tree, calculate the value of a $1.40-strike European put option on the British pound.
| a. | $0.2946 | |
| b. | $0.2863 | |
| c. | $0.3322 | |
| d. | $0.3164 | |
| e. | $0.3010 |
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