Question: Calculate u, d and p when a binomial tree is constructed to value an option on a foreign currency. The tree step size is one

Calculate u, d and p when a binomial tree is constructed to value an option on a foreign currency. The tree step size is one month, the domestic interest rate is 0.50% per annum, the foreign interest rate is 0.10% per annum, and the volatility is 12% per annum. Use a three step binomial tree to value a 3m European call option on EUR/USD when spot is 1.08 $ per , strike is 1.10 $ per .

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