6. Repeat Problem 4, only set r = 0 and = 0.08. What is the lowest...

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6. Repeat Problem 4, only set r = 0 and δ = 0.08. What is the lowest strike price (if there is one) at which early exercise will occur? If early exercise never occurs, explain why not.

For the following problems, note that the BinomCall and BinomPut functions are array functions that return the option delta () as well as the price. If you know , you can compute B as C − S.

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