Question: Consider a binomial model with sigma = 0.2.delta = 0-05 and interest rate r of 5% a year, both compounded continuously. Using T = 1

Consider a binomial model with sigma = 0.2.delta = 0-05 and interest rate r of 5% a year, both compounded continuously. Using T = 1 maturity of one year, initial stock price S(0) = 100 and N = 4 periods, find the premium of the American Call C^A(K) for K = 95. At which states is early exercise rational? Suppose the stock moves are Up/Up/Down/Down. Compute the replicating portfolio along that scenario

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