9. (American Option)

Write a VBA program to determine the initial price of an American Call and American Put option in a binomial model based on the following data:

• S(0) 5 100; K 5 105; T 5 1; r 5 8%; σ 5 30%; div 5 8%; M 5 10 Gradually increase the value of M and report the subsequent option prices. Use the value of u 5 eσ ffiffiffiffi

Δt p and d 5 e2σ ffiffiffiffi

Δt p