Use a three-time-step tree to value the option estimate the, Financial Management

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Use a three-time-step tree to value the option estimate the

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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