The futures price of a commodity is $90. Use a three-step tr
Question and Solution
The futures price of a commodity is $90. Use a three-step tree to value (a) a 9-month American call option with strike p
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The futures price of a commodity is $90. Use a three-step tree to value (a) a 9-month American call option with strike price $93 and (b) a 9-month American put option with strike price $93. The volatility is 28% and the risk-free rate (all maturities) is 3% with continuous compounding.
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