Question: For the single-period evolution given in the preceding figure, consider an American call option with maturity 1 and strike price k = $0.92 on the

For the single-period evolution given in the preceding figure, consider an American call option with 1 and k = $0.92 on the three-period zero-coupon bond. What is the arbitrage-free price of this call option? Is early exercise (at time 0) optimal?

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