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A partial two-stage binomial tree is shown below for an American call option with a strike price of $155, spot price of $154, and volatility
A partial two-stage binomial tree is shown below for an American call option with a strike price of $155, spot price of $154, and volatility () of 20%. The risk-free rate is 1% per annum compounded continuously. What is the option price (fu), 3-months from now (t=3-months)?
Group of answer choices
fu 5
5 < fu 7.5
7.5 < fu 10.0
10.0 < fu 12.5
fu > 12.5
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