18.11. A three-month American call option on a stock has a strike price of $20. The stock...
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18.11. A three-month American call option on a stock has a strike price of $20. The stock price is $20, the risk-free rate is 3% per annum, and the volatility is 25% per annum. A dividend of $2 is expected in 1.5 months. Use a three-step binomial tree to calculate the option price.
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