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Use the binomial tree model to price a European put option on a Singapore dollar. The put option expires in 3 months, an
Posted: Sat Nov 27, 2021 5:20 pm
by answerhappygod
- Use The Binomial Tree Model To Price A European Put Option On A Singapore Dollar The Put Option Expires In 3 Months An 1 (95.38 KiB) Viewed 47 times
Use the binomial tree model to price a European put option on a Singapore dollar. The put option expires in 3 months, and its strike price is 5.6 Hong Kong dollars. Suppose the current exchange rate of Singapore dollar is 5.7 Hong Kong dollars. The exchange rate could either rise to 6 in the up state, or drop to 5.4 in the down state. The annual risk-free rate in Hong Kong is 1%, and the annual risk-free rate in Singapore is 0%. Find the current price of the put option in Hong Kong dollar.