Question: (4 pts) A two-step binomial tree is used to value an option on the Australian dollar. The strike price is 1.00 USD per AUD and

(4 pts) A two-step binomial tree is used to value an option on the Australian dollar. The strike price is 1.00 USD per AUD and the expiration date is 6 months. Each step is 3 months. The current price of one AUD is 1.04 USD. The US risk free rate is 2.0%, and the AUD risk-free rate is 2.5%. The exchange rate has a volatility of 6% per annum. What is the probability of an up movement, p

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