Question: We consider a binomial model with T = 1 period, F1U = 1/Fd, probability of up-move p= 0.6, interest rate r = 0 per period,

We consider a binomial model with T = 1 period, F1U

We consider a binomial model with T = 1 period, F1U = 1/Fd, probability of up-move p= 0.6, interest rate r = 0 per period, and Xo = 100 Gils. We look at a derivative that pays $(u) = 20 if w = u and $(d) = 0 otherwise. Its price is observed on the market and it is 3 Gils. We want to calibrate the model to this observed price. What is the implied FU? Give your answer(s) with 2 decimal digits. FU

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