Solved

An Exchange Rate Has a Volatility of 12% Per Year pp

Question 2

Short Answer

An exchange rate has a volatility of 12% per year. The domestic and foreign risk-free interest rates are both 4% per annum continuously compounded). The time step on a binomial tree is three months.
i) What are the pp , uu and dd parameters for a Cox-Ross-Rubinstein tree? Give four decimal places.)
u =_ _ _ _ _ _ d = _ _ _ _ _ _ p = _ _ _ _ _ _

Correct Answer:

verifed

Verified

Related Questions

Unlock this Answer For Free Now!

View this answer and more for free by performing one of the following actions

qr-code

Scan the QR code to install the App and get 2 free unlocks

upload documents

Unlock quizzes for free by uploading documents