Consider a European call option with maturity 6 months and an underlying commodity with price at time
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Consider a European call option with maturity 6 months and an underlying commodity with price at time 0 equal to $45 and volatility 20%. Given the interest rate is 3%, the strike price is $50 and u = 1:1 and d = 0:97, determine the European call option price through the binomial model by implementing 10 tree time steps.
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Nitin Goel
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