18.10. Use a three-time-step tree to value a nine-month American call option on wheat futures. The current
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18.10. Use a three-time-step tree to value a nine-month American call option on wheat futures.
The current futures price is 400 cents, the strike price is 420 cents, the risk-free rate is 6%, and the volatility is 35% per annum. Estimate the delta of the option from your tree.
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