Question: a ) The Australian dollar is currently worth 0 . 6 1 0 0 US dollars and this exchange rate has a volatility of 1

a) The Australian dollar is currently worth 0.6100 US dollars and this exchange rate has a volatility of 12%. The Australian risk-free rate is 7% and the US risk-free rate is 5%. Compute the value of a 3-month American call option with a strike price of 0.6000 using a three-step tree.

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