Estimate the delta of the option from your tree

Assignment Help Finance Basics

Reference no: EM13286249

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 3%, and the current exchange rate is 0.81. Use a three-step binomial tree to value the option. Estimate the delta of the option from your tree.

Reference no: EM13286249

Questions Cloud

What is the efiective resistance of the t.v. set : A typical color television draws about 2.9 A when connected to a 150 V source. What is the efiective resistance of the T.V. set

How many moles of o2 are needed for the complete reaction : How many moles of O2 are required for the complete reaction of 43.5 g of C2H4 to form CO2 and H2O

Find the polarization state of the transmitted beam of wave : A half-wave plate has a phase retardation of π. Assume that the plane is oriented so that the azimuth angle (i.e., the angle between the x-axis and the slow axis of the plate) Ψ=0. a. Find the polarization state of the transmitted beam, assuming t..

Explain moles of o2 are required for the complete reaction : How many moles of O2 are required for the complete reaction of 43.5 g of C2H4 to form CO2 and H2O

Estimate the delta of the option from your tree : The Swiss franc's volatility is 10%, the dollar interest rate is 6%, the Swiss franc interest rate 3%, and the current exchange rate is 0.81. Use a three-step binomial tree to value the option. Estimate the delta of the option from your tree.

Calculate the final temperature of the ice tea : 220 cm3 of hot tea at 89°C are poured into a very thin paper cup with 70 g of crushed ice at 0°C. Calculate the final temperature of the "ice tea"

What is the net charge on the balloon : You rub an inflated balloon on the carpet and it acquires a potential that is 1560 V lower than its potential before it became charged. what is the net charge on the balloon

Explain an athlete wants to acquire red blood cells : An athlete wants to acquire red blood cells from a donor with the same blood type. Taking into consideration that blood is composed of three components, plama, red blood cells, and leukocytes. what instrument have used in our lab experiments that ..

Define how many grams of can be produced : How many grams of can be produced from 3.15 of. Express your answer numerically in grams.

User Account

All Pages