Question: Using the following three-step binomial tree to compute the price of an European call option with strike price $90 and T = 6 months.

Using the following three-step binomial tree to compute the price of an European call option with strike price $90 and T = 6 months. The initial price for the underlying stock is $80. r = 0.05 per annum. St = 2 months. u= . d = . 80 156.25 (125) (DOO) 40.96 Figure 2.10: A binomial tree

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