Good Morning,

I have same problems with the questions 7 and 8 of the week 4 of the course Financial Engineering and Risk Management Part I

Do you know the answers of these questions:

What is the earliest time period in which you might want to exercise the American

futures option of Question 6?

Compute the fair value of a chooser option which expires after n=10 periods. At

expiration the owner of the chooser gets to choose (at no cost) a European call option

or a European put option. The call and put each have strike K=100 and they mature

5 periods later, i.e. at n=15.

They based on this question : Compute the fair value of an American call option with strike K=110 and maturity

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

15 periods. The futures contract is on the same underlying security of the previous

questions. it is also based on this question: Compute the price of an American call option with strike K=110 and maturity T=25 years.

Istructions:

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

T=.25 years S_{0} = 100

=100,

r=2%,

=30%

and a dividend yield of c=1%.

Thank you a lot

Carmine