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Consider a three period CRR model with u = 1.2, d = 0.8 and periodic interest rate r = 0.1. Suppose that S0 = 10

Consider a three period CRR model with u = 1.2, d = 0.8 and periodic interest rate r = 0.1. Suppose that S0 = 10 at time t = 0. Calculate the arbitrage-free price at t = 0 of a European call option with strike price K = 17 and maturity T = 3. Find the arbitrage-free price at t = 0 of an American call option with K = 15 and maturity T = 3.


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