Question: Problem: For a two-period binomial model, you are given: (i) Each period is one year. h=1 (ii) The current price for a non-dividend-paying stock is

Problem: For a two-period binomial model, you are given: (i) Each period is one year. h=1 (ii) The current price for a non-dividend-paying stock is 100. S(0)=100 (iii) when stock price goes up u=1.25, (iv) when stock price down d=0.80, (v) The continuously compounded risk-free interest rate is 7%. r=0.07 Calculate the price of an American call option on the stock with strike price of 100. K=100, was there early exercise

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