The OPTONFX.lng Model

Binomial Options Pricing model on Foreign Exchange

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This example is a binomial option pricing model on foreign exchange:

What is the value in dollars of an option to buy one unit of a foreign currency at specified/strike exchange rate? We assume that the exchange rate can either go up from one period to the next with probability PUP, or down with probability (1 - PUP).

Keywords:

Foreign Exchange | FX | Probabilities | Uncertainty | Binomial Option Pricing | Derivatives | Break Even Point | Sales | Accounting | Banking | Financial | Portfolio | Options |