Consider the non-dividend paying asset with a current value of 100 kr that is described by the 2-step Binomial model depicted below. Assume that the continuously compounded risk free interest rate is 20% per annum for all maturities. Consider an exotic European gap call option on this stock that matures in eight months with payoff: ST-90 when ST>120 and 0 otherwise. What is todays price of this option?

Consider the non-dividend paying asset with a current value of 100 kr that is described by the 2-step Binomial model depicted below. Assume that the continuously compounded risk free interest rate is 20% per annum for all maturities. Consider an exotic European gap call option on this stock that matures in eight months with payoff: S-90 when ST>120 and 0 otherwise. What is todays price of this option. Keep at least four decimals in all your calculations. Your answer should be rounded off to nearest integer and contain no decimals. Example if you found that the price was 13.2527 kr then you should answer: 13 156.2500 125.0000 100.000 100.0000 80.0000 64.0000 + months 0 8