Repeat Problem 11.4, only set r = 0 and = 0.08. What is the lowest strike

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Repeat Problem 11.4, only set r = 0 and δ = 0.08. What is the lowest strike price (if there is one) at which early exercise will occur? If early exercise never occurs, explain why not.
For the following problems, note that the BinomCall and BinomPut functions are array functions that return the option delta (∆) as well as the price. If you know ∆ you can compute B as C − S∆
Strike Price
In finance, the strike price of an option is the fixed price at which the owner of the option can buy, or sell, the underlying security or commodity.
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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