Using a three-step binomial to price "options on other assets" (Hull 13.11 10th edition): equity index option, currency options and futures options (aka, options on futures contracts). The key difference is the calculation of p = probability of an up jump. For options on dividend-paying assets (such as equity index options) where (q) is the continuous dividend yield: p = (a - d)/(u-d) where a = exp[(r-q)*Δt]. For a currency option, the foreign currency's risk-free rate, Rf, is tantamount to a dividend yield such that a = exp[(r - Rf)*Δt]. For an futures option, a = 1.0, and we use p = (1-d)/(u-d)
David's XLS is here: https://trtl.bz/2AZLCkA
David's XLS is here: https://trtl.bz/2AZLCkA
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