Question: 13. A binomial tree with three-month time steps is used to value a currency option. The domestic and foreign risk-free rates are 4% and 6%

13. A binomial tree with three-month time steps is used to value a currency option. The domestic and foreign risk-free rates are 4% and 6% respectively. The volatility of the exchange rate is 12%. What is the probability of an up movement? A. 0.4435 B. 0.5267 C. 0.5565 D. 0.5771

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