Let S = $65, r = 3% (continuously compounded), d = 4%, s = 40%,...
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Let S = $65, r = 3% (continuously compounded), d = 4%, s = 40%, T = 1. In this situation, the appropriate values of u and d are 1.32028 and 0.74988, respectively. Using a 2-step binomial tree, calculate the value of a $55-strike American call option.
a.
$15.353
b.
$15.272
c.
$14.396
d.
$14.899
e.
$15.124
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