Question: please answer 11.2 = = 11.1 Consider a one-period binomial model with h= 1, where S= $100, r=0, 0= 30%, and 8 = 0.08. Compute

please answer 11.2 = = 11.1 Consider a one-period binomial model with please answer 11.2

= = 11.1 Consider a one-period binomial model with h= 1, where S= $100, r=0, 0= 30%, and 8 = 0.08. Compute American call option prices for k= $70, $80, $90, and $100. a. At which strike(s) does early exercise occur? b. Use put-call parity to explain why early exercise does not occur at the higher strikes. c. Use put-call parity to explain why early exercise is sure to occur for all lower strikes than that in your answer to (a). 11.2 Repeat Problem 11.1, only assume that r=0.08. What is the greatest strike price at which early exercise will occur? What condition related to put-call parity is satisfied at this strike price? = = 11.1 Consider a one-period binomial model with h= 1, where S= $100, r=0, 0= 30%, and 8 = 0.08. Compute American call option prices for k= $70, $80, $90, and $100. a. At which strike(s) does early exercise occur? b. Use put-call parity to explain why early exercise does not occur at the higher strikes. c. Use put-call parity to explain why early exercise is sure to occur for all lower strikes than that in your answer to (a). 11.2 Repeat Problem 11.1, only assume that r=0.08. What is the greatest strike price at which early exercise will occur? What condition related to put-call parity is satisfied at this strike price

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