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Assume that the price S of a risky asset follows a binomialmodel with S(0) =$100, u = 10% and d = -10%. The underlying asset pays a dividend of$5 on the odd times, i.e., 1; 3; 5...,and only if the price is strictly higher than $95. In this market,the risk-free rate is 0% (zero).You are called to price a European call with strike price K = 87and expiry date N = 3 with the additionalrestriction that during the life of the call the stock price hasnot exceeded the value of $110.
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Calculus