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Unformatted text preview: dollar value by 60 percent or decrease by 37.50 percent. The interest rate in dollars is i $ = 3%; the interest rate in euro is i = 4%. a. Draw the binomial tree for this put option. Your answer is worth zero points if it does not include currency symbols ($, )! b. Find the riskneutral probability of an up move. Hint: you cant recycle your risk neutral probability from the call option. c. Using your results from parts a) and b) find the value of this put option ( in ). Your answer is worth zero points if it does not include currency symbols ($, )! d. Verify that the dollar value of your put option equals the dollar value of your call. Your answer is worth zero points if it does not include currency symbols ($,)!...
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 Spring '09
 stansfield
 Derivatives, Exchange Rate

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