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A 3-month American call option on a futures contract is modeled with a 3-period binomial tree. You are given: (i) The binomial tree (CRR method)
A 3-month American call option on a futures contract is modeled with a 3-period binomial tree. You are given:
(i) The binomial tree (CRR method) is based on the futures contract;
(ii) The continuously compounded risk-free rate is 5%;
(iii) The strike price is 60;
(iv) Currently, the futures contract price is 60;
(v) = 0.3.
Determine the call option price.
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