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

A binomial tree with three-month time steps is used to value a currency option. The domestic and foreign risk free rates are 6% and 3% respectively. The volatility of the exchange rate is 12%. What is the probability of an up movement? a.0.5565 b.0.4435 c.0.5267 d.0.5771

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