Compute the fair value of an American call option with strikeK = 110

K=110and maturity

n = 10

n=10periods where the option is written on a futures contract that expires after

15 periods. The futures contract is on the same underlying security of the previous

questions.

should be answered by building a 15-period binomial model whose parameters should be calibrated to a Black-Scholes geometric Brownian motion model with:T = .25

T=.25years,S_{0} = 100

S0

=100,r = 2\%

r=2%,\sigma = 30\%

=30%

and a dividend yield ofc = 1\%.

c=1%

u=1.0395