Binomial Price and the Black-Scholes Price Assignment | Homework For You
May 26th, 2020
4. (4 points) The currency exchange rate for GBP is $1.25 per pound. The risk free interest rates for USD and GBP are 1% and 1.5% per year, respectively, with continuous compounding. The volatility of GBP exchange rate is o= 15%. Compute the price of a 6-month at-the-money European put option in a 3-step CRR binomial model. Compare the binomial price with the Black-Scholes price. Get Finance homework help today

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