SOLVED:Consider a one-period binomial model with h=1, where S= 100, r=0, σ=30 %, and δ=0.08. Compute American call option prices for K= 70, 80, 90, and 100. a. At which strike(s) does early exercise occur? b. Use put-call parity to explain why early exercise does not occur at the higher strikes. c. Use put-call parity to explain why early exercise is sure to occur for all lower strikes than that in your answer to (a).
SOLVED:Consider a one-period binomial model with h=1, where S…
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