Consider a one-period binomial model with h = 1, where S = $100, r = 0,= 30%, and = 0.08. Compute American call option prices for K = $70, $80, $90, and $100.

(a) At which strike(s) does early exercise occur?

(b) Use put-call parity to explain why early exercise does not occur at the higher strikes.

(c) Use put-call parity to explain why early exercise is sure to occur for all lower strikes than that in your

answer to (a)