An Exchange Rate Has a Volatility of 12% Per Year $p$

question 1

Short Answer

An exchange rate has a volatility of 12% per year. The domestic and foreign risk-free interest rates are both 4% per annum continuously compounded). The time step on a binomial tree is three months.
i) What are the $p$ , $u$ and $d$ parameters for a Cox-Ross-Rubinstein tree? Give four decimal places.)
u =_ _ _ _ _ _ d = _ _ _ _ _ _ p = _ _ _ _ _ _

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