A European put has strike $18 and expires in three time steps. Using Cox- notation, the underlying asset has S = 15, u = 1.2 and d = 0.95. The return over each time step is R = 1.1. Ross-Rubenstein What is the expiry value of the put at node (3,1)? Do not include the dollar sign ($) in your answer. 1.755

A European put has strike $18 and expires in three time steps. Using Cox- notation, the underlying asset has S = 15, u = 1.2 and d = 0.95. The return over each time step is R = 1.1. Ross-Rubenstein What is the expiry value of the put at node (3,1)? Do not include the dollar sign ($) in your answer. 1.755

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter5: Currency Derivatives

Section: Chapter Questions

Problem 32QA

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