Compute the price of an American call option on the same ZCB of the previous three questions. The option has expiratio t =6  and strike  = 80

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Н K Term Structure Lattice 2 r(0,0) 5.00% 3 1.10 0.9 0.50 b1 1-q 0.50 7. Short-Rate Lattice 10 2 3 4 8 10 10 12.97% 12 13 11.79% 10.61% 10.72% 9.65% 8.68% 14 9.74% 8.77% 7.89% 7.10% 15 6. 8.86% 7.97% 7.17% 6.46% 5.81% 5.87% 5.28% 4.75% 16 17 18 19 20 21 22 23 24 8.05% 7.25% 6.52% 7.32% 6.59% 5.93% 5.34% 4.80% 4.32% 3.89% 3 6.66% 5.99% 5.39% 4.85% 4.37% 3.93% 3.54% 3.18% 2 6.05% 5.45% 4.90% 4.41% 3.97% 3.57% 3.22% 2.89% 2.60% 5.50% 4.95% 4.46% 4.01% 3.61% 3.25% 2.92% 2.63% 2.37% 2.13% 5.00% 4.50% 4.05% 3.65% 3.28% 2.95% 2.66% 2.39% 2.15% 1.94% 1.74% Ten Year Zero-Coupon Bond 25 3 6 10 26 10 100 27 28 29 30 31 32 89.45 100 81.58 91.20 100 75.68 84.53 92.69 100 6. 71.26 79.46 87.06 93.93 100 67.97 89.22 91.05 75.62 82.74 94.98 100 65.56 72.74 79.45 85.57 95.86 100 3 63.84 70.62 76.95 82.76 87.97 92.58 96.58 100 34 62.68 69.10 75.10 80.62 85.59 90.01 93.87 97.19 100 35 36 37 61.97 68.07 73.78 79.03 83.78 88.01 91.72 94.94 97.69 100 61.62 67.44 72.88 77.89 82.42 86.47 90.05 93.16 95.83 98.10 100 B. Н K Term Structure Lattice 2 r(0,0) 5.00% 3 1.10 0.9 0.50 b1 1-q 0.50 7. Short-Rate Lattice 10 2 3 4 8 10 10 12.97% 12 13 11.79% 10.61% 10.72% 9.65% 8.68% 14 9.74% 8.77% 7.89% 7.10% 15 6. 8.86% 7.97% 7.17% 6.46% 5.81% 5.87% 5.28% 4.75% 16 17 18 19 20 21 22 23 24 8.05% 7.25% 6.52% 7.32% 6.59% 5.93% 5.34% 4.80% 4.32% 3.89% 3 6.66% 5.99% 5.39% 4.85% 4.37% 3.93% 3.54% 3.18% 2 6.05% 5.45% 4.90% 4.41% 3.97% 3.57% 3.22% 2.89% 2.60% 5.50% 4.95% 4.46% 4.01% 3.61% 3.25% 2.92% 2.63% 2.37% 2.13% 5.00% 4.50% 4.05% 3.65% 3.28% 2.95% 2.66% 2.39% 2.15% 1.94% 1.74% Ten Year Zero-Coupon Bond 25 3 6 10 26 10 100 27 28 29 30 31 32 89.45 100 81.58 91.20 100 75.68 84.53 92.69 100 6. 71.26 79.46 87.06 93.93 100 67.97 89.22 91.05 75.62 82.74 94.98 100 65.56 72.74 79.45 85.57 95.86 100 3 63.84 70.62 76.95 82.76 87.97 92.58 96.58 100 34 62.68 69.10 75.10 80.62 85.59 90.01 93.87 97.19 100 35 36 37 61.97 68.07 73.78 79.03 83.78 88.01 91.72 94.94 97.69 100 61.62 67.44 72.88 77.89 82.42 86.47 90.05 93.16 95.83 98.10 100 B.