Question: Building a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with: T=.25years S0=100, r = 2% =30% c=1%

Building a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with:

T=.25years

S0=100,

r = 2%

=30%

c=1% (Dividend yield)

Compute the fair value of an American call option with strikeK=110and maturity

n = 10 periods where the option is written on a futures contract that expires after

15 periods.

This is the only question I am getting wrong from my assignment, but I cannot figure out why.

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