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  3. suppose the exchange rate is $1.06/fr. let r $ = 8

Suppose the exchange rate is $1.06/Fr. Let r $ = 8%, r Fr = 7%,...

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Accounting

Suppose the exchange rate is $1.06/Fr. Let r $ = 8%, r Fr = 7%, u = 1.25, d = 0.81, and T = 1.5. Using a 2-step binomial tree, calculate the value of a $1.10-strike American put option on the Swiss franc. Please show all your work, NO EXCEL, thank you :)

a. $0.1312 (CORRECT ANSWER) b. $0.1282 c. $0.1207 d. $0.1361 e. $0.1453

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