An exchange rate has a volatility of 12 the domestic and


The Cox Ross and Rubinstein Tree Model

An Exchange rate has a volatility of 12%. The domestic and foreign risk-free interest rates are 6% and 4%, respectively. The time step on a binomial tree (Dt) is three months.

What are the p, u and d parameters for a Cox, Ross, and Rubinstein model?

p =

u =

d =

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Financial Management: An exchange rate has a volatility of 12 the domestic and
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