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An investor has to sell ABC in 4 month. He hedges his position against adverse evolution of ABC by using American 100 strike-option. The spot

An investor has to sell ABC in 4 month. He hedges his position against adverse evolution of ABC by using American 100 strike-option.

The spot price of ABC=100, its volatility=20%, dividend at rate 1.5% is paid till the maturity.

The risk-free CCIR=2%. Determine this option premium by using 2 period binomial method?

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