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Assume that the strike price is $100. The time to maturity T is 2 months. Risk-free rate is 0.1, u = 1.21, d = .82.

Assume that the strike price is $100. The time to maturity T is 2 months. Risk-free rate is 0.1, u = 1.21, d = .82. Price the European and American binary calls if the spot price differs from the strike by .01 using the 2 - step binomial tree.

(use monthly compounding)

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