Estimate the delta of the option from tree

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Reference no: EM131239489

1. Provide formulas that can be used for obtaining three random samples from standard normal distributions when the correlation between sample i and sample j is ρ_i,j.

2. An American put option to sell a Swiss franc for dollars has a strike price of $0.80 and a time to maturity of 1 year. The Swiss franc's volatility 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 threestep binomial tree to value the option. Estimate the delta of the option from your tree.

Reference no: EM131239489

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