Question 6 An asset worth $100 can go up by 10% or down by 7%. The risk free rate is 4%. There are options with an exercise price of $100. There are no dividends. Find the values of the following options. Assume two periods until expiration. A. A European call on the asset (2 marks) B. An American call on the asset (2 marks) 18 pts C. A European call on the futures (3 marks) D. An American call on the futures (3 marks) E. Based on your answer in D, is it optimal to exercise early the American call on futures? (3 marks) F. Dividends are relevant to the pricing of European call options on spot but not to the pricing of European call options on futures. Explain. (3 marks) G. American call options on spot are not usually exercised early but American call options on futures tend to be exercised early. Explain (2 marks) Question 6 An asset worth $100 can go up by 10% or down by 7%. The risk free rate is 4%. There are options with an exercise price of $100. There are no dividends. Find the values of the following options. Assume two periods until expiration. A. A European call on the asset (2 marks) B. An American call on the asset (2 marks) 18 pts C. A European call on the futures (3 marks) D. An American call on the futures (3 marks) E. Based on your answer in D, is it optimal to exercise early the American call on futures? (3 marks) F. Dividends are relevant to the pricing of European call options on spot but not to the pricing of European call options on futures. Explain. (3 marks) G. American call options on spot are not usually exercised early but American call options on futures tend to be exercised early. Explain (2 marks)