Question: Suppose the exchange rate is $ 1 . 2 1 / pound . Let r$ = 7 % , rpound = 6 % , u

Suppose the exchange rate is $1.21/pound. Let r$=7%, rpound=6%, u=1.2, d=0.8, and T=2. Using a 2-step binomial tree, calculate the value of a $1.15-strike European CALL option on the British pound. The answer is $0.1470. Please show steps without using excel.

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