The swiss francs volatility is 10 the dollar interest rate


An American put option to sell a Swiss franc for dollars has a strike price of $0.80 and a time to maturity of 1 year. the Swiss franc's volatility is 10%, the dollar interest rate is 6%, the Swiss franc interest rate 3%, and the current exchange rate is 0.81. Use a three-step binomial tree to value the option. Estimate the delta of the option from your tree.

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Finance Basics: The swiss francs volatility is 10 the dollar interest rate
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