An american put option to sell a swiss franc for dollars, Ask an Expert

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An American put option to sell a Swiss franc for dollars has a strike price of $0.80 and a time to maturity of one year. The volatility of the Swiss franc is 10%, the dollar interest rate is 6%, the Swiss franc interest rate is 3%, and the current exchange rate is 0.81. Use a three-time-step tree to value the option. Estimate the delta of the option from your tree.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92712196

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