The cox ross and rubinstein tree model

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The Cox Ross and Rubinstein Tree Model

An Exchange rate has a volatility of 12%. The domestic and foreign risk-free interest rates are 6% and 4%, respectively. The time step on a binomial tree (Dt) is three months.

What are the p, u and d parameters for a Cox, Ross, and Rubinstein model?

p =

u =

d =

Reference no: EM131921203

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