Exercise 12.15 In the binomial model, suppose instead that u = eT/n, 1 p = T/n

Exercise 12.15 In the binomial model, suppose instead that u = eζT/n, 1 − p = λT/n and R = ˆRT/n with d < 1 being fixed, where ζ > log ˆR > 0.

Obtain the limiting call option pricing formula for this specification.