Question: post all the steps Let S = $50, r = 4% (continuously compounded), d = 3%, s = 30%, T = 1.5. In this situation,

post all the steps

Let S = $50, r = 4% (continuously compounded), d = 3%, s = 30%, T = 1.5. In this situation, the appropriate values of u and d are 1.30644 and 0.77701, respectively. Using a 2-step binomial tree, calculate the value of a $45-strike American call option.

a.

$10.477
b.

$9.867
c.

$10.168
d.

$9.919
e.

$10.367

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