Dollar-denominated american put option on british pounds

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Consider a 6-month dollar-denominated American put option on British pounds. You are given that: • The current exchange rate is 1.43 US dollars per pound. • The strike price of the put is 1.56 US dollars per pound. • The volatility of the exchange rate is σ = 0.3. • The US dollar continuously compounded risk-free interest rate is 8%. • The British pound continuously compounded risk-free interest rate is 8%. Using a two-period binomial model, calculate the price of the put

Reference no: EM131063756

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